Mercado da Figueira
A must visit while in Lisbon. Not an extreme selection of cheese, but a bit of everything gourmet. We actually bought the finest of bacon there.
Praça da Figueira,
Home page: Mercado da Figueira
Round the corner from Mercado da Figueira you’ll also find a tiny bar called A Ginjinha, serving Cherry brandy, which they have done continuously since 1840. Try it!
Is no less than a hypermarket. As such usually pretty boring, but the one I found had an extremely wide and deep selection of regional Portuguese raw milk cheese. Lots of other good stuff as well, such as Norwegian wet salted and dried cod, aka Bacalhau.
Centro Comercial Colombo
Easy access by Metro: Blue Line to Colégio Militar/Luz Station