COVERED MARKET: Mercado San Anton. This is the more modern of the two main indoor markets that Madrid has to offer. It completely baffles me that this revolutionary way of eating has not caught on in London. Instead of sitting down for one big meal you go from counter to counter sampling ham, cheese and other Spanish delicacies. Don't miss the delicious 'croquetas' - upmarket potato croquettes which quite literally melt in your mouth.