The Ricomini bakery on Calle Méndez Vigo is the best-known producer of the local brazo gitano — long rolls of feather-light sponge wound around guava paste, dulce de leche, pineapple, coconut, or any of a dozen other fillings. Tourists buy them in fancy paper boxes to take home; locals buy them by the half-roll for breakfast.
The shop is plain, the queue is often out the door on Sunday mornings, and the cake is genuinely good. Worth a stop even if you have just had lunch.