Previously this used to be an open air market in Cathedral Square. This of course was a problem when inclement weather would hit. In 2009 a large warehouse was finished to allow the market to take it inside. The warehouse is at the harbour – Puerto Avenida and is the place to do any shopping you are going to do in Havana. Prepare to haggle and make sure that for any original art you get a certificate from the artist which will allow you to take it out of the country. There will likely be an extra small charge for this but it will prevent hassles at the airport.
Also, there is a new brew pub adjacent to the market.