I just got back from 11 terrific days in Sorrento. The only blemish was dealing with one particular market owner. His shop is on the corner between Ristorante San Antonio's and Da GiGino's. He comes across as a really pleasant and helpful merchant. But be very alert when he starts to ring up your order. We stopped in one evening to pick up some deli meats, cheeses, olives and bread for the next day. He wrapped everything up, went to the register and rang up at least 13 euros too much. He has very fast hands on that cash register. I didn't catch it until we unpacked the groceries.
There are two other markets we subsequently used. One is about half a block past the Fauno Bar on the left. Nice people and very good prices. The other can be found by walking past the Cloisters, parallelling the coastline. Keep looking left and you'll see it. Great wine choices too. It is very close to the Bar Buffalito (awesome - review to come).