The Wall Market is a location that you can visit in Sector 6 which can be found in Midgar. The Wall Market is a large town within a town that you visit on your way up to the Shinra Building. Check out the full Wall Market walkthrough section for more information.
The Wall Market can be revisited later on in the game by completing the Key to Sector 5 side quest. Click on the link below for more information:
Aside from the cross-dressing story line in Wall Market during your first visit, and obtaining Tifa’s Ultimate Weapon, 
Premium Heart, there really isn’t much of a reason to come back to the area during a standard playthrough.
There is an item shop and a weapon shop where you can purchase the following items:
The map below shows the location of the Wall Market (which can be found in Midgar) on the World Map:
Potion
Mythril Rod
Assault Gun
Titan Bangles