Madrid's cooking is winter food in a high-altitude city — heavy, meaty, slow-cooked stews built around legumes, offal, and roast lamb. The signature dishes are cocido madrileño (a three-course chickpea-and-pork stew traditionally served on Tuesdays), callos a la madrileña (tripe stew with chorizo and morcilla), and bocadillo de calamares (deep-fried squid in a baguette, sold from any bar around Plaza Mayor).
The eating geography is straightforward. Cava Baja in La Latina is the great tapas street — twenty-odd bars in two hundred metres, all good. Mercado de San Miguel by Plaza Mayor is a beautiful but touristy gourmet market for oysters and croquetas. The neighbourhood markets of Mercado de San Antón (Chueca) and Mercado de la Cebada (La Latina) are cheaper and more local. For the city's oldest restaurant try Sobrino de Botín, in business since 1725 — the suckling pig is the dish to order.
Eat late: lunch starts at 2 pm, dinner not before 9, and most restaurants do not really fill until 10 or 11. The menú del día — a fixed-price three-course lunch — is the bargain everywhere, usually €12–€18 with wine included.