Mercado de San Miguel
Although this market has closed, the area it is in is definitely worth walking through. You can start on the popular shopping street Calle Fuencarral and then veer off on side streets like Calle Velarde for more local boutiques, unknown brand names and vintage and thrift shops.
On your way to this area, I highly recommend stopping for a snack and a coffee at La Tita Rivera. They have a beautiful outdoor garden and a unique type of tapas - 'casis' which are little bread bowls filled with different kinds of deliciousness. From fish to meat to vegetables to cheese, there are dozens of choices and they are tasty and fun to eat!
There is also a street where artists – primarily painters – display their work. And finally, there are two antique areas that I saw, one of which is in a small courtyard just off the main road of the market, and when you walk in, there is a quiet sense of calm that lends itself well to the type of products being sold.
I recommend starting early and then stopping at Martina Cocina an Argentinian café, for breakfast when the crowds get to be too much for you. The yogurt parfait is a healthier (and well-presented) option, but there are also empanadas, tostadas and pastries.