El mercado de San Miguel esta cerca esta pegado a una de las salidas de la plaza mayor,y en la calle de los clásicos mesones de Madrid por lo tanto puedes visitar ambas cosas de una vez.

I would suggest going to the Mercado. The choice is amazing. The wine selection equally excellent. The atmosphere is relaxed. Food and drink choices for every taste. Prices from acceptable to ridiculous. Everything is so fresh.

They're all ok... Depends on how you like tapas or if you prefer raciones. I like the tapas at Lateral but the service sucks big time. If you feel like eating tapas somewhere else you can go to other places near Sol, like Alhambra, or any in Calle Álvarez Gato (or around there). I also like Txakoli and Orio but they're a little bit more expensive. Alternatively, choose a place in La Latina from Calle Cava Baja/Alta

You are not far from Santa Ana Plaza. You just have to get to Puerta del Sol and from there take Carrera de San Jeronimo (name of a street) and then take Calle del Principe to your right and walking down that street you will arrive to Santa Ana Plaza. Hope you have a great stay! Madrid is wonderful!!

We had dinner at one of the restaurants on the plaza (don't remember which one, but facing the big hotel it was on the right side). I had delicious grilled salmon and a salad. There are lots of "simple choices" with fish or chicken and vegetables. Enjoy Madrid!