You'll find the Maasai market in Nairobi, Kenya.
Rule no. 1: If you hear a hissing noise behind you, GET OUT OF THE WAY!!! It's the sound of a "delivery" man bringing items to one of the 'stores'. A store consists of a platform made of dirt about a foot high and maybe 6' x 6'. The walkway between stores is about 2' wide. So when you hear that noise, you typically end up jumping onto one of the store platforms. If you don't he will run you over.
Rule no. 2: Learn the art of haggling. The first day we went shopping I wasn't that good at it and probably did not get really good deals. But the next time, the next time I was prepared. It was actually a lot of fun bargaining with the store keepers. In fact, one time I didn't get the price I wanted so I just left. As we were getting ready to pull away in the van a man popped his head in the van with the items and I got them for the price I wanted.
**Not at this market, but on the side of the road we had a fun moment of "men are the same all over the world." One of the ladies with us had negotiated a price for these sandstone animal figures. Then another salesman went up to the man in our group to see if he would want to buy any. After a few minutes of haggling, he finally told the salesman the price the woman bought the items for and the salesman's response? "Well, we can't have you beaten by a woman, so I'll sell them for that same price." Once again proving, men are the same all over the world :)
Rule no. 3: Items like pens, locks, sunglasses, etc. can be used as currency. These are items that are hard to find for cheap, so buy a lot in the States and use them when haggling in the market. I bought a chess set for $7 and two ink pens. Good deal :)
Rule no. 4: As in all open markets, keep your money in several different places on your body. That's just good practice when traveling.