The indoor market is not to be missed, especially for buying fish or cooked pulses, or 10 varieties of marinated olives - quick lunch solutions if you like cooking. Think Boqueria, but scaled down a little and without the camera crews.
You might need to use elbows and whatever you do, don't smile. You must have gravitas in these situations! I have learned this the hard way, you can pay me later. I will one day go and take photos.