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. Everyone knows the red shrimp from Denia will be bought by someone from the most expensive restaurants, as the fill themselves with pride being able to by at such a price. It's definitely a unique experince.
On our trip to the Cova de l'Aigua, we had the opportunity to see an extraordinary view over Denia from Montgó. Just looking at the contrast of the bright colors of the buildings with the deep blue sea was one of the highlights of our trip.