See a story from the National Public Radio website concerning how Spain came to shift to Central European Time from Greenwich Mean Time. Hat tip to the other DrC for the link.
Spanish dictator Francisco Franco made the change to mollify Adolf Hitler, who sought in vain to get Spain to become his ally in World War II. Apparently there is some agitation to change back to GMT, particularly among those who have no fond memories of the Franco years.
If you call up a Google Map you'll see that Spain is mostly due south of the British Isles - an argument for the change. However, it makes more sense for Spain to be in the same time zone as its big northern neighbor, France.
The article wanders off into a discussion of the Spanish habit of taking a midday siesta after lunch, and then working into the early evening. I'm reasonably certain changing the time zone wouldn't affect Spain's late-dining pattern, which puts it out of step with most of the EU.