Pasteis de Nata are like little caramelised creme brulees in a puff pastry case. I love the contrast of the crisp and flaky pastry with the smooth and creamy custard filling. I look for the one with the most caramelised top. They are said to have originate from a monastery near Lisbon to make use of spare egg yolks. The whites were used for starching the nuns' habits and in wineries for the clarifying of wines such as Port.
Penha d'Aguia near the cathedral in Funchal serves excellent ones and good coffee too, both at a reasonable price. You can get Bolo de mel there too and queijadas which are baked using a soft white cheese.