A fictional place people refer to when they obtain something for free. It could mean shop lifting, receiving a gift, getting a day off from work, etc. It can also mean hooking up with someone.
1.Dan: Nice sweatshirt, were'd you get it?
Chris: I went to the free market
2. Billys been talking to that girl all night, and now it looks like there going to the bedroom. He's going to the free market