St George's Market on May Street is a magnificent Victorian covered market — cast iron columns, vaulted glass roof, red brick walls — that opens three days a week. The Friday variety market is general goods and antiques; the Saturday city food and garden market is the best, with local producers selling bread, cheese, vegetables, meat, fish, and prepared food; the Sunday market combines both.
Come on Saturday morning for the food market, which is one of the best in Ireland. The smells are extraordinary: spit-roasted meats, fresh bread, artisan cheeses, and the inevitable Ulster Fry from the hot food stalls. The covered space is warm even in winter, the crowds are cheerful, and there's usually live music somewhere near the entrance. This is one of the most genuinely pleasurable things you can do in Belfast.