I wish I were able to help you, but I came here looking for the same kind of information. I live in the Alicante area but am near Valencia too. I recently began crafting and am desperately looking for ways of obtaining some of the wonderful papers, inks, pens etc. I see people using on Youtube.
I am even willing to go to Madrid if there's anywhere with the kind of things I am looking for. I did find a link on here to some places in Barcelona (http://byebba.com/2013/06/shop-with-artistic-material-mainly-jewelery-abroad/) Thanks for the link, kaluznica!
Have you tried the Chinese bazaars for craft supplies? I often find lovely things in the local bazaar here, stuff such as embellishments, thread, ribbons, EVA, all kinds of glues, coloured card papers, and many jewellery making items, all at extremely affordable prices.
Any information on places in Valencia, Alicante, Madrid, or anywhere that has an online service would be most welcome.