Mesón de Cándido is the most famous restaurant in Segovia and has been feeding visitors its cochinillo asado since 1931. It sits directly beneath the Roman aqueduct at the Plaza del Azoguejo, in a building that has served as an inn since the 15th century. The setting is theatrical and the cochinillo is legitimately excellent — crispy-skinned and fall-apart tender, served with nothing but a wedge of lemon and some bread. It is a tourist institution, but an honest one.
The restaurant is expensive by Spanish standards — expect to pay 35-50 EUR per head with wine — and you need a reservation, especially on weekends. The dining rooms are decorated with bullfighting memorabilia and signed photographs of the famous people who have eaten here, which is either charming or annoying depending on your tolerance for that sort of thing. At minimum, walk past it on your way from the lower town to the aqueduct.