An authentic experience
The experience I had in the Lonja De Dénia fish market was truly authentic. As a matter of fact, it's not the easiest thing to do today, as it's generally not open to tourists (but it's just a matter of trying to enter though).
I had the experience of seeing the fish arrive at the market (around 5 PM) and seeing how the auction worked. It was fantastic. A surprising and local, every day type of event, but fascinating nonetheless. The fishermen come off the boat, transport the catch, the screen announces the fish, each person has a remote to press when the price drops to the most they're willing to pay.