When you're in Madeira, you absolutly have to try a "Bolo do Caco" which is a Madeiran flatbread filled with fillings like cheese, bacon, sausage and other foods. They are delicious and very cheap, so they make a perfect lunch on the go; I've lost count of how many days we got these for lunch!
Casa do Bolo do Caco is a popular bakery in the centre of Funchal and serves plenty of food options including Bolo do Caco.