Street markets are an important part of the life of Madrid, and the Sunday market called El Rastro is the king of them all. It's easy to get to by Metro and you can spend a great day wandering the blocked-off streets, enjoying the many cafes, and finding the best gifts for the folks at home. Tourists are far outnumbered by locals, always a good sign, and there really are good bargains to be had. A real word of warning though: pickpockets work this market all the time; keep your possessions under your control at all times, and don't leave handbags and purses open or slung over your shoulder. But don't let that caution put you off what really is a great Madrid experience.