We have one that happens on the last Friday of each month, and it's always lovely to visit if we have time. They do all sorts, and it is great for local small businesses to get noticed, too!
We have one stall that offers ostrich burgers, and at first, I was a bit torn, but after trying, I couldn't believe how good they were.
I definitely agree that some stuff is expensive. I got three pieces of chicken schnitzel for about $12 NZ whereas I can get a pack from the supermarket which would work out cheaper but the way I see it it's all about supporting local businesses.