One thing to see absolutely in Madrid beyond the more "tourist" ones is undoubtedly the San Miguel market. A few steps from the Plaza Mayor the market, which is located here from 1916, it was completely refurbished in May 2009, and it shows.
A visit is worthwhile especially if you are in lunch time and you want to taste something, but don't expect any market. The san miguel market is really quaint and, very new. Inside there are approx 75 stations several and an area in the center with tables and chairs for those who want to stop and eat calmly. In reality, this space is usually always full.
On the sides and all around the perimeter of the market there are dozens of stations very tasty. There are no products whatsoever, nor careless, here it seems to be inside some nice restaurant, with the difference that we are in a market. Tapas, prawns a la plancha, Iberian jamón, wine, fresh smoothies, ice creams and cookies. In short, you can find everything you want here. Highly recommended.