When you go to Madrid make sure you try their garlic soup ( sopa de ajo), salted cod in sauce (bacalao ala Madrilena, and potato omelet (tortilla de patata). Visit the grill houses where you can get a succulent suckling pig. If you are really on a budget though, go to restaurants when they offer promos or specials. A better choice is to go to a public market in Madrid so you can really stretch your budget:

Mercado de San Miguel

You can find this market in an old building in the district of Puerta del Sol. You may want to go early so you can get the freshest of the goods. You will have a wide array of unfamiliar and familiar food. Jump from one booth to the next and get the best of tomatoes, paraguayos, Manchego, salchichon, cheese, and other pickled goodies.

El Mercado de Maravillas

You can find this public market in Calle Bravo Murillo and it is considered as among the most impressive and longest standing markets in Madrid. There are nearly 260 plus stalls that has been managed by families for generations. There are specialty stores where you can find some of the rarest ingredients that you might need. You can get here Extremadura beef or Aranjuez asparagus. It is basically a great farm to plate experience.

El Mercado de los Monstenses

This is a multicultural public market where you can get ingredients from Japan, Mexico, South America, and China. The selections are very hard to resist especially the manioc and Asian cabbages.