It is cheaper than the stores and has a nice social side to buying groceries and stuff. Most Tallinn home chefs shop there and besides imported fruit and vegetables you can find local Estonian grown produce, fish and meat, milk products as well as spices, nuts and seeds.
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Get a glimpse of the Soviet era aura. It's still there as the market hall probably looks just like when it was built! In summer you should sample on smoked fish, local berries, both forest and garden-grown ones and get mildly salted cucumbers – also known as fresh or "light" pickles.
Definitely go to the meat market in the main building on the underground level.