The first two weeks of the month are pretty exciting, with music, food and film festivals to entertain you. The Bienal de Flamenco festival in Seville (every two years: 2006, 2008, etc) runs until the middle of the month, there is a seafood festival in Galicia and a number of film festivals in Catalonia. In Madrid there is a major performing arts festival, the Festival de Otoño (Autumn Festival). Zaragoza has the highlight of its calendar, the Fiesta de Pilar in the middle of the month.

Complete List of Festivities in October:
Mid-September until mid-October: Bienal de Flamenco, important flamenco festival in Seville. Festival is every two years, in even years. (2006, 2008, etc).
Mid-September until mid-November: Girona's Fires de Sant Narcis.
October 5-9: Cadiar, in the Alpujarras mountain range, has its Feria de Octubre, where the fountains are filled with wine rather than water.
First two weeks of October: Fiesta de la Exaltación del Marisco, O Grove - seafood festival by the River Arosa in Galicia. Exact dates change each year - in 2006 the event will be Oct 6-15: (according to the Galicia Tourism Guide.
September 30 - October 6: Film Festival of Albacete
First week: Fuengirola, Costa del Sol, has its festival.
October 4-8: Barcelona International Erotic Film Festival.
October 5-14: Sitges, near Barcelona, has the Sitges International Film Festival of Catalonia.
October 6-15: Barcelona International Gay and Lesbian Film Festival
Second week: The olive growing capital of the world, Jaen, near Granada, has its festival.
Second week. celebration for the Virgen del Pilar, Aragon's patron saint, which is most celebrated in Zaragoza.
October 11: November 9 Festival de Otoño, major performing arts festival in Madrid.
October 12 - Dia de la Hispanidad, Spain's national day , also known as Columbus Day.
Third week - San Pedro, near Marbella, Costa del Sol, has its big festival.
October 17-19 Festa das San Lucas, Mondoñedo, Galicia. Arts & crafts, horse fair and the local almond tarts.
October 18 - Romería de Nuestra Señora de Valme in Dos Hermanas, near Seville. Religious pilgrimage.
October 19-26 Mostra de Valencia Cinema del Mediterrani film festival in Valencia.
October 20-28 - Valladolid International Film Festival
October 20-November 4 - 17th Annual Horror and Fantasy Film Festival in San Sebastian.
October 23-25 Fiesta de la Rosa del Azafrán, Consuegra near Toledo. Festival to celebrate the saffron that is grown in the area. The area around Consuegra is famous for its windmills and inspired Cervantes to include them in Don Quijote.
Last weekend - Festa de Sant Martirià in Banyoles, Catalonia.