El Rastro is the oldest and most famous flea-market in Madrid. Every Sunday the whole city seems to gather in this one place: in the Embajadores neighborhood. Dozens of stalls are set up selling just about any object you can imagine.
It is best to arrive as early as possible in order to avoid the large crowds and the shouting wars of the vendors over who has the best deals. Don’t forget to check out the antique stores in the side streets, which also have many beautiful objects to offer.
If you have out-shopped yourself, or the market is getting too crowded, then there are many little cafes and restaurants nearby where you can take a break and re-boot.