The weekend markets at Santa Brigida and San Mateo are so popular these days that there's traffic jams on the road up. Fortunatley there's a Sunday alternative close to Las Palmas that doesn't get the crowds.
San Lozenzo market has about 20 stalls and is a genuine farmer's market with all produce grown locally. It even has a price board at the entrance listing the maximum and minimum prices for the fruit and veg on sale.
One highlight of the San Lorenzo market is the cheese stall right at the entrance. All the cheeses on display are made in the surrounding area and tasting is encouraged. They even cut your cheese with a traditional Canarian knife. Their lightly smoked goat cheese is fantastic and the stall next door does a great flor cheese suitable for veggies.
As well as fresh produce San Lorenzo also has stall selling bread and local cakes as well as aloe vera products, Gran Canarian olive oil and local honey. There's a small cafe in the market square and another in the church square a couple of minutes walk away: It's only got six tables so be prepared to wait for a seat.
Get to San Lorenzo from Las Palmas by car (there is parking right next to the market), taxi or on bus 335. The market runs from 0.900 to 15.00 but quite a few stall sell out well before the end.