I love going to local markets when I am in a new city. West Side Market is a fantastic market, in fact the only market I have been to, which is a lot, is the local market in Toronto. WSM is housed in a beautiful brick building and offers a wide range of meats, cheeses, produce, fruits, vegatables, baking treats, and gifts. They have a little bit for everyone.
Take your time and walk around the entire place more than once because it is easy to miss something the first go around because there is so much to see.