That palace is called The Royal Site of San Lorenzo de El Escorial, although it is commonly known as El Escorial.
Its architect was Juan Bautista de Toledo but it was King Philip II 's decision to build it. UNESCO declared it a World Heritage Site and since the end of the XVI century is known as the "Eighth Wonder of the World" due to its size, (33.327 m²) complexity and symbolic value.
More than 500,000 people visit El Escorial each year.
I have gone there and it is huge and awesome, you must visit it at least once in lifetime.
Hope I helped you