Under the slogan Madrid Cultivates & Produces, the Agrarian Chamber of the Community of Madrid, in collaboration with the Ministry of Environment and Spatial Planning, has launched the initiative “Market Day” since June 2011 in order to create a meeting point for locals to view the ample products from Madrid & for consumers to purchase directly from the producer with no intermediaries.
You will find everything here – fruits, vegetables, legumes, olive oil, cheese, meat, wine, bread…100% Made in Madrid. The best part: at the entrance, purchase a wine glass for 1€ yours to keep and go around tasting all the wines provided by local wineries! Not to mention also tastings of local cheeses, olive oils and bread, mmm! 
When: Saturday, March 2nd from 10am – 3pm.
Where: La Cámara Agraria on Pº de la Puerta del Ángel, 4. Metro Lago (L10) or Puerta del Ángel (L6).
Free entry.
I definately recommend the Market Day, I’ve been twice and I plan on going every first saturday each month. Great initiative for us who want to buy local produce.