Unless you are staying on the Cotai Strip, be prepared to spend 100 patacas on a cab ride to sleepy Coloane. Stop at the town square and head to where a large crowd is congregating, and you'll find the legendary Lord Stow's small bakery, churning out dozens of sweet, savoury Portuguese natas (egg tarts). Eat one on the spot to enjoy the flaky crust, and take a dozen home for your friends.
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