We were very lucky to be staying right around the corner from this lovely bakery. They have an incredible assortment of options: cookies, little dessert cups with custard and chocolate, sweet and savory pastries, sandwiches with ham, salame, or chorizo, donuts, meringues, candies, and an entire case full of chocolates and truffles. It's hard to know what to choose, but our favorites were the sandwiches and the mini-donuts covered in sugar (they're flavored with anise, which was a nice surprise.) The meringues were also phenomenal - crunchy on the outside, chewy on the inside, and massive.
I highly recommend going here and just trying an assortment of items. It's cheap and it's hard to go wrong.
The staff were also very polite and patient with our indecision when trying to pick out items, and most of them speak English as well. It can get busy in the mornings, but they use a ticket system to keep things orderly and the line moves very quickly.