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Every Sunday, in the oldest part of Madrid, there is held the 'Rastro' open-air market - and it's MASSIVE. Everything imaginable can be found here from genuine antiques to not so genuine DVDs and everything in between. It's basically Camden market but on a grander scale. It's always crowded and pickpockets ply their trade so stay alert. To really do it the Madrileno way you should have a Bocata de Calamare (Calamares / fried squid baguette) for brunch - it's their version of a bacon sandwich - and you can find cafes serving this scrummy nosh up towards Plaza Mayor.

For a fuller selection of photos please see our space on Flickr.com where we upload everything and which show much better detail.  

Links 
MiRastro.com (in Spanish)