One of my favourite things to do in each city is to visit the markets. Food markets are the only ones I frequent, loosely browsing at fresh items but more often looking for ready to eat items for a snack, a picnic or a quick social gathering.
Mercado de San Miguel in Madrid is one of my favourite in the world. It only occupies a small building, but the excellence of items and its central location next to the Plaza Mayor make it worth a visit.
My favourites are the jamon iberico bellota reserva, including cheaper versions such as floss, salchichon (sausages) and paleta (front legs), the freshly shucked oysters and pinxtos served on bread. There is also a lot of cheese, olives, sweets, icecream and fresh fish.
There is something for everyone.