It's very difficult for non Spaniards to get a handle on Spanish culture because, almost by definition, everyday culture is something that just flows into you every day. Obviously the five times a day eating or the split day (not to be confused with the siesta per se which most Spaniards don't have time for) are pretty obvious but most of it is something that is difficult learn. For instance you're unlikely to know famous personalities or songs from the past which can be a bit limiting conversation wise and even keeping up with the news is often difficult for people who have limited Spanish. Obviously being able to speak Spanish is a key to unlocking many of the secrets but, then again, it will take a lot of work for you to be able to speak knowledgeably about Spanish language films or books. On a simpler level there are plenty of things that you can find out in English if you think of yourself as being a child and needing to pick up all of those things that children are introduced to as they grow - the geography of the country, a bit of its history - stuff like that
I've been blogging about these things for ages and as my blog is registered on this site I'm sure it's OK to mention it - there are hundreds of little things from ideas about inheritance through to road rules that are completely alien to me as a Brit. For instance Spaniards generally prefer to get their information by talking to people so written information tends to be sketchy and Spanish people like to eat food they understand so international cuisine is a bit tricky to find even in largish cities. Spanish culture tends to be pretty monolithic - you won't find much celebration of Diwali or Eid but expect the Catholic Church to bless the new police car bought by your local force. I live in inland Alicante in a village with a large British population yet the number of winners of the design a fiesta poster or the local playback session without a double barrelled Spanish surname are few and far between. Knowledge of non Spanish culture tends to be limited amongst most Spaniards.
As people have said Spaniards are pretty generous and very friendly in a superficial sort of way (I don't mean that in any bad way. They will quickly take you under their wing but it takes a lot of work to form a deeper relationship) and it is pretty easy to join in with the things that are going on. Joining things, car clubs, choirs, gyms, pilates groups, dance groups, book clubs etc is a good way to get into things that are going on.
I should, of course, add that second and third generation Brits have far fewer problems. They've grown up with Spanish telly, Spanish youtube and Spanish popular culture so their problem is knowing anything about Dickens, Glorious Goodwood, Morecambe and Wise or Duran Duran rather than Vicente Blasco Ibáñez and Risitas.