Let's start with the best game market I've had the pleasure to enjoy: Guild Wars 2. Early on in development they hired an economist that had direct input in designing the game's economy and boy did they hit some home runs. First: the auction house is global to all players regardless of what server they play on. Second: there is an exchange available to swap gold for premium currency for the cash shop. Third: a public API is available so third party websites can crawl the auction house data.
I made a lot of gold and bought a lot of premium currency in Guild Wars 2 simply through playing the global auction house. There were many tools such as GW2TP that break down whats trending up and whats trending down that also feature tools to find easy profit flips. More than anything in Guild Wars 2 I was a market flipper and I would not be surprised if 50% or more of my /played time was at the auction house.
In my current game of choice, New World, I spend a large amount of time in the trading post as well. The tools and interface are not the best, but there is a lot of "inefficient" areas in the market of New World. Those inefficient areas let me slide in to make a gold or hundred. These areas are always shifting as different things happen in the game and it's as much a part of the "player vs player" in the game as the actual "go kill players" aspect. The market in New World is cut throat and the bigger you climb the harder you can get crushed by the true market makers.
Another market I look back on fondly is how trading worked in Ultima Online. There were two main facets: player to player trading and house merchants.
Players could own houses in the open world in Ultima Online and place merchants that they stocked with wares to sell. As a player you needed to know who sold what where and how to get there in order to buy. Many times in towns you would see folks offering to portal folks to their house and entire shopping malls of houses sprung up to offer a centralized area to buy.
The market in the game towns also served as a place for folks to advertise their wares and find buyers. Some "player towns" (close groupings of houses) also became extremely popular not just to go and find wares but to also stand around shouting what you were selling.
One of my favorite activities in Ultima Online was to jump on my tamer and tame wild horses. The horses would follow you into town and then you could transfer the tamed horses to another player. As you could name the horses custom names it was always funny to see A, B, C, D, etc flowing in behind me as I rolled into the town center. You could also tame dragons and other big bad creatures which were even more fun to figure out how to sell!
Another more recent game with a neat market mechanic is Albion Online. In the game all items are crafted by players; even the rewards given out as dungeon loot. The game cycles items through the "black market". As the game needs items of a certain type to put into chests it places buy orders on the "black market". Players can then craft (or buy) items to sell to the black market and the game in turns puts those player crafted items directly out into the loot pool for other players. It is an absolutely fascinating concept and something players make their entire career around in Albion.
Game markets. They are games in and of themselves and they made me the gamer I am today and that reminds me need to go check those buy/sell orders in New World.
Oh and Palia... seriously... no market? WTF