You absolutely must not miss... by catarata
You absolutely must not miss The Rastro of Cascorro, one of the most emblematic signs in Madrid. This area is known primarily for the flea market (purportedly the world's largest) held on Sundays and holidays from about 10AM to 2PM. This market is a must-see for visitors, the streets of the entire area filled with stalls selling just about every imaginable sort of goods. Even if you're not interested in buying anything, it's worth coming by to stroll around and feel what is still a very genuine market atmosphere, then perhaps finish off your visit with a few tapas.
I would caution the visitor to this area that not everything sold in the Rastro is a bargain, and particularly cheap items may have been stolen. Indeed, be careful of your own wallets and handbags in around the market, since the very crowded streets are a haven for pickpockets