Riding a Toboggan -- Madeira's most fabled activity is taking a carro de cesto ride in a wicker-sided sled from the high-altitude suburb of Monte to Funchal. Two drivers run alongside the sled to control it as it careens across slippery cobblestones. It's a great joy ride that lasts 20 minutes.
Escaping to the Golden Beaches of Porto Santo -- Pirates of the Atlantic once romped on the 6.5km (4 miles) of beaches in this relatively forgotten part of the world.
Spending a Morning at the Mercado dos Lavradores (Market of the Workers) -- Go early -- between 7 and 8am, at the latest -- to see this market come alive. Flower vendors, fishers, and local terrace farmers sell an array of local wares (produce, fish, clothing, flowers, baskets, ceramics, prepared food, crafts) not seen anywhere else in Madeira. Check out the fish, everything from tuna to eel, that you'll be served later in local restaurants. It's open Monday to Saturday 7am to 8pm.
Tasting the Local Wines -- Go to any taverna (tavern) on the island and acquaint yourself with the array of local wines, all fortified with grape brandy. Before you leave the island, be sure to sample all the different selections: the world-renowned, light-colored Sercial, the driest of the Madeira wines; the golden-hued, slightly sweeter Verdelho; the decidedly sweet Bual, a dessert wine that's good with cheese; and the sweetest: rich, fragrant Malmsey, which is served with dessert.
Attending the End of the Year Festival -- The most exciting (and most crowded) time to visit Funchal is during this festival, December 30 to January 1, when live music, food stalls, dancing, costumes, and parades fill the streets. At night, fireworks light up the bay, for which the mountains in the background form an amphitheater.
