You can get all of the local varieties of cheese, wine, meat, etc here. All of the vendors are set up in a row in the town hall and you can get great food.
What to buy: Cheese and TORRONE (a local nougat- delicious).
What to pay: very little like 1 euro to more expensive meats like 20 euros.
We were stranded during the winter in the piazza in terrible weather and happened upon this great little shop towards the far end of the area, near the hotels away from the piazza, past the american cafe. I can't remember the name but it is across the street from some tourist shops a few streets off of the water. I hope you can find it, it's great.
What to pay: Can be a bit pricey but some bargains can be found under 10 euros.
I will find the name of this store, but it is facing the front of town, where the ships dock. It's a goumet shop that has tons of wonderful items. The owner is very nice, and gives away free samples of a cookie that is made on the island. It's made wth marzapan, and it is absolutely delicious.
What to buy: The shop has candies, cakes, wines, cheeses, salami and my favorite, anchovies. Isola Maddalena is famous for their anchovies. They are the most delicoius in the world.
What to pay: Prices were good.