Never leave a country before you taste its street food—there will many differences from one country to the next, but it's always tempting while wandering the streets and a good way to better understand local culture. Donghuamen Night Market is located nearby Wangfujing business district—you need to take the subway (red or purple line) and get off at Wangfujing Station.
The market boasts plenty of food and snacks, and gets going around 5-6pm. There are a number of strange snacks available, such as starfish, scorpion, and grasshopper. But don't worry—in the midst of those more unusual snacks, you will find lamb satay, veggie dumplings, fried noodles, and much more.