I absolutely love West Side Market! Over the past few years some vendors have come and gone, but I've always found just what I wanted and more. There are so many different types of fresh produce, high quality meats, seafood, pastas, baked pastries, spices, etc. Every time I come it feels like an episode of Chopped for me - what can I cook tonight with XYZ??
If you're buying produce in the outside market, make sure that you inspect and choose wisely. There have been several times that I let the vendor choose a bag/box for me and then I get home and find some of the produce going bad at the bottom. Since then, I've always chosen my own fruits/veggies.
Head upstairs for a nice view of the market and come early to avoid the long lines. Parking can be a pain - sometimes you might even get luckier street parking than in the lots.