One of the best things I ate while in Rio was Pao de Queijo (cheese bread). It is basically a baked ball of dough and cheese that melts in your mouth. Almost every cafe in Rio sells these...usually they give you a little bag filled with them so you can take them to go.
I was wandering through the streets in Santa Teresa and saw that these had just come out of the oven so stopped to have some with a few friends. The cafe was on the main street close to the bus station but I didn't actually see a sign with the name (sorry). Be careful you can't have just one...we ended up ordering another bowl!