In your example, it doesn't really matter. If I asked; Q: What do you like best about Spain? You could answer A: I like the Madrid nightlife or A: The nightlife of Madrid is my favourite thing and both would sound natural. In this case, you could also say 'The nightlife in Madrid' and that would sound very natural in an English setting. In general, using 'of' strictly makes your speaking sound old-fashioned, whereas not using it is more natural. Consider saying 'We are best of friends' or 'We are best friends' - the second one is widely said, but the first is very unusual and formal/old-fashioned. Whether to say 'of' depends on the situation, so you need to think about whether the sentence would make sense without it. If you always include it, you will never be wrong, but you may sound odd to a native speaker. If you accidentally don't use it where you were supposed to, you may confuse the meaning of a sentence. I think it's just something to practice and get the hang of. :)