There's a market in Alhama on a Tuesday I think it is...starts about 8am and is pretty good for fresh foods. Good place to stock up on fresh vege and fruit. There's also a guy who does the roast chickens to take away.
There is one in Totana (different day but can't remember which one). This is much bigger and has a lot of stands for shoes, clothes, kitchen items etc plus the full range of foods. We thought this was a very good market and the prices were great. Definitely worth a look.
We went in summer so I couldn't say for sure if they operate all year round.
I think there is also one in El Pareton (spelling may be wrong) which I have never been to.