It appears to be near the train station - Piazza Vittorio (not to be confused with the location of the monument Vittorio Emmanuele at Piazza Venezia.

http://maps.google.com/maps?hl=en&bav=on.2,or.r_gc.r_pw.r_qf.&bpcl=39650382&biw=1280&bih=642&q=piazza+vittorio+roma&um=1&ie=UTF-8&hq=&hnear=0x132f61bd1f4adb67:0x7ada3bacb0f9d4d2,Piazza+Vittorio+Emanuele+II,+Roma,+Italy&gl=us&sa=X&ei=7QbBUPqZCaTR2QWm6IHQBw&ved=0CCsQ8gEwAA


Mercato di Piazza Vittorio – Esquilino
Piazza Vittorio Emanuele II.
Metro: Vittorio Emanuele. Tram 14, Bus 70, 71, 105, 516, 517, 11, 14
7.00 AM- 2.00 PM
Bustling Piazza Vittorio was, until recently, perhaps the most Roman of the city’s larger markets. Organized as a cramped corridor of stalls around a central garden, it is the place where bargain-hunting popolari, Rome’s bustling shoppers, buy their food. Stallholders offer cheap prices if you buy by the kilo. Lately it has become more international and now features African and Asian food stalls. Some stalls have moved to the new site in Via Gioiitu; it is also one of the cheapest and best stocked food market around with excellent fish and regional cheeses.

Thanks kybourbon, it is close to the train station; but it is not quite at the park any more. We found it this morning;The food portion is in the building that is surrounded by the Via Principe Amedeo; Via Ricasoli, Via Filippo Turati and Via Lamarmora; and it is LOTS of fun! The clothing part is next door across Via Ricasoli.

The pricing on the food seemed very reasonable, and everything looked fresh.
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Cyn
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Have you been to the Trionfale market on via Andrea Doria (near the Vatican Museum)?

http://www.mercatotrionfale.it/

>>>it is close to the train station; but it is not quite at the park any more<<<

Found these directions.

It is near the metro stop "Vittorio" of line A. The market used to be located in the little park of the Piazza Vittorio, yet now it moved in the premises of the former "Centrale del Latte" (Milk Plant), in the nearby Via Principe Amedeo.