Stop by the Sag Harbor Farmers Market located at the corner of Bay St. and Burke St. every Saturday from 9am to 1pm, and purchase delicious local produce, flowers, and more! Here are some vendors you’ll want to check out: Sage & Madison Sage & Madison is a popular vendor at the Sag Harbor Farmers Market, a community-focused market that brings together local farmers, food producers, artisans, and small businesses on the Sag Harbor waterfront.