Luckily for me we stumbled upon the market while exploring off Wang Fu Jing (the main shopping street). So if you're planning a trip to Beijing bear that in mind! I have to report though that I was very unadventurous. We didn't end up trying anything except for dessert because we'd consumed a whole lot of duck at Li Qun. Then greedily stuffed our faces with some Beard Papa cream puffs.
I do bring photos of the weird and bizzare however.
Innard Kebabs?

Sea Urchin and Crabs?


And don't forget the insects. GULP:

The Beijing colleague reminised about eating "Tang Hu Lu" as a child, so that was the lame snack we got at Dong Hua Men. It's a kind of candied fruit on a stick? If you've ever had "Haw Flakes" from Chinatown, the fruit tastes just like that, but sickly sweet since it's dipped in a hard sugar coating. This is one dessert I didn't like.
Sticks and sticks of Tang Hu Lu:

Chomp Meter:





I can't really rate this since I didn't eat much there but it's definitely worth a stroll around so you can scare yourself with the weird foods available haha. Just a disclaimer too that the market is geared towards tourists. It felt kinda staged to me :p
Dong Hua Men Avenue
West of Wang Fu Jing Avenue
Beijing 100005
China