re. el Rastro: Hang on to your purse! The earlier 'poster's' caveat concerning pickpockets should also be aimed at Purse snatchers. Don't ever set your purse down on the table! Don't wear any 'hanging' jewelry (i.e., necklace or bracelet). Otherwise you're pretty safe there.

Unless there's a police crackdown or a merchant has called the police because street vendors have set up shop on the sidewalk in front of his place of business, the street vendors are all over the place (especially touristy areas). Most of what they sell is inferior merchandise: 'knock off's' of name brands, etc. But you can get it cheap: they expect you to haggle over price.

BTW
It amazes me: people who wouldn't be caught dead in a fleamarket near their home in the U.S. rush to fleamarkets like el Rastro in Madrid or the one in Paris. It must give Europeans a distorted view of Americans.
P.S. When a nephew from Madrid came to visit us in Philadelphia, I took him to the local fleamarket - he was amazed at all the stuff he could buy there.