One of my favorite "foodie" experiences during my trip to Madrid was visiting the Mercado de San Miguel. In fact, I enjoyed it so much, I went each day while I was there. The market reminded me of the West Side Market in Cleveland, but with serious Spanish flair. There are a variety of vendors (over 30, I believe) serving different tapas dishes, meats, sherry, and seafood. I didn't even know where to begin, so I just started wandering.