The Phoenix Public Market has become one of my favorite Saturday morning traditions. Wake up when its still cool out, walk the dog down to the market, and pick up some fresh eggs and veggies in my canvas bag. And maybe stop at Royal too :)
To be honest, I have not visited the market on Wednesday evenings since my last review 18 months ago, so I can't comment on Wednesdays - but I know that Saturdays are always hoppin!! There are probably 40 vendors and 10 food trucks to wander about, sample, and throw your money at.
There are several large farms that attend where you can find just about any (in season) produce that normal grocery stores carry. The egg vendors usually sell out quickly - so stop there first! More and more vendors seem to be getting that iPhone/Pad credit card app, which makes forgetting to bring cash much more convenient.