Las weekend some friends and I hit up Esquilino market (near Termini train station) and a newer food market inside the train station itself. Both were a lot of fun and I can recommend Esquilino particularly if there's a specific food you've been unable to find elsewhere. A friend was particularly excited to find Paneer and I got some great sun dried apple chips for snacking.
We also discovered the food below: agretti. They look like grass but taste like greens (kind of like chard if I had to be more specific) and were easy to cook. Just boil a few minutes and toss with olive oil and lemon juice et voila!
Here's how they look once prepared. Absolutely delicious!