The bocadillo is an art form. Crusty bread encloses fillings of your choice: usually tortilla española or thinly sliced cured meats. It's also a patriotic symbol and staple of daily life. What else would you carry to the Real Sociedad soccer game? The beach? Your pre-party on the port?
Juantxo is widely accepted as the Old Town favorite for bocadillo consumption. Its prices are quite cheap and portions generous.