Two things that you must try while you are here:
1) Portuguese Egg Tart - This is very similar to the egg tart found in Hong Kong in the bakeries and at dim sum except for one difference, they have swirls of black on them from the brown sugar that has caramelized on the top. Most street vendors will sell them for around MOP$6 - $6.50. Portuguese bakeries sell them at higher prices MOP$10 and are not as fresh.
2) Pork Chop Bun - indigenous to Macau, this is a great snack item found in the street vendors for about MOP$10. It's just a steamed bun with a few slices of a seasoned pork slices and less of a chop.
Other food items:
Soft Peanut Brittle with saltine crackers MOP$3. This old man was selling it out of a cart in the Senate Square. It was a stick with a peanut flavored melted sugar sandwiched in between two crackers. It was quite yummy.
While walking along the streets, there are always old ladies trying to get you to sample the items in their store, especially the many flavors of beek jerky. Feel free to sample it's perfectly safe, but the women are a bit persistent. -