If you enjoy (and really who doesn't) amazing and fresh produce, wild caught meats, etc. then definitely check out the Old Town Farmer's Market every Saturday from 8am to 1pm. We've been a few times already and need to get a 2nd produce only fridge in the near future as we come home with way to much each time. McClendon's Farm is the main produce provider at the Old Town Farmer's Market and some of the best produce I have seen.
If you go make sure to bring your reusable environmental friendly bags to put all your produce into. If you forget they have plastic bags. Really fun walking around to meet the other local vendors, try out their delicious foods and get outdoors in downtown Scottsdale.