"[Jubbulpore's] inhabitants brag that within a li of the pylon at the spaceport end of the Avenue of Nine anything in the explored universe can be had by a man with cash, from a starship to ten grains of stardust, from the ruin of a reputation to the robes of a senator with the senator inside."
A Black Market is an established "underground" economy which deals in the transfer of illicit goods, the exact nature of which will vary wildly depending on era and location. The Empire may be actively trying to stamp it all out, or taking its cut under the table and vigilantly looking in some other direction. The stuff for sale may be worthless crap, lethally dangerous, genuinely useful, or, most likely, a mixture of all three. But you're going to pay through the nose, and when you arrive to pick up your purchase, it might be a good idea to come armed. Or send someone who knows what they are doing.
In Real Life, the term is generally used to describe the encompassing gestalt: a collection of individuals and covert operations which can be spread across a wide geographic range, the archetypal example probably being the vast array of illicit transactions which occurred in Great Britain during World War II; in that particular case, it was rationed food-types which was being bought and sold. This is often the case in fiction as well, but sometimes you will encounter a literal Black Market, a covert shopping emporium complete with merchants hawking their dubious wares from established stalls. This latter type is often a subset of the Bazaar of the Bizarre, with everything for sale and the outright illegal stuff lurking around the edges.
Honest John, The Scrounger and/or The Rat will often be found thriving in this environment, but s/he'll just be manning one of the (literal or metaphorical) stalls; the ultimate power will usually be in the hands of The Syndicate. Unless it all comes full circle, and the whole thing is just another branch of the The Empire...
The people of Ceres slums largely survive in Ai no Kusabi by relying on goods from the Black market. Unbeknownst to them save a key few, it is actually run by Iason, the top ruling Blondy.
Gotham Central features the black market of Gotham City as a pretty integral plot-point for its multiple Corrigan story arcs. Jim Corrigan, a crime scene technician for the Gotham City Police Department, has a nasty habit of stealing evidence from crime scenes to sell on the black market, since there is a brisk trade in Gotham crime memorabilia. This originally seems to be something of a victimless crime, since he is not actually stealing from a person who is losing their own property, except that his tampering with evidence lets criminals go free and gets honest police officers charged with felonies. After his memorabilia scheme is halted by Renee Montoya, it is revealed that his black market connections actually run a lot deeper than believed, and for years he has also been stealing and reselling heroin that the narcotics squad had confiscated.
In Force 10 From Navarone, the leaders of the title group pretend to be black marketeers on the run from the Allied authorities.
Opening narrator:I never knew the old Vienna before the war with its Strauss music, its glamour and easy charm. Constantinople suited me better.
[Scenes of black market goods changing hands]
Opening narrator: I really got to know it in the classic period of the black market. We'd run anything if people wanted it enough and had the money to pay. Of course a situation like that does tempt amateurs
Iron Man 1: Stane has been selling weapons to the Ten Rings organization behind Tony's back.
Live Action TV
M*A*S*H had several episodes involving the black market. In "To Market, To Market", black marketeers steal vital medical supplies, the doctors must make a deal to get them back. Their contact with the underworld? Father Mulcahy!
In "Snap Judgment", Klinger goes to the black market (called "Little Chicago" in this episode) to try and find Hawkeye and BJ's stolen camera. He succeeds and buys it back, but gets stopped by MP's and charged with the theft.
Another episode had Father Mulcahy and Winchester visiting black marketeers to try and negotiate for medical supplies.
Due to Executive Meddling the new Battlestar Galactica churned out a Filler Episode about the black market on the Colonial fleet which was very poorly received. One common interpretation which emerged said that the market did exist, selling luxury goods, food and even people, but that none of the events involving Lee Adama and his sudden, melodramatic angst actually happened.
In Firefly, Mal and the other heroes have dealings with Badger, who runs a small black market operation on Persephone. In the movie Serenity it's Fanty and Mingo on Beaumonde.
Tokusou Sentai Dekaranger: The main villain of this Super Sentai series, Agent Aburera, is a prominent figure in a galactic black market, providing Mecha-Mooks and equipment for any alien criminal who can meet his price, and fencing their spoils for them. In fact, he doesn't even get directly involved with the Rangers until late in the series, when their interference of his clients' plots start tanking his profits.
The episode "One Man Band" of The Unusuals provides us with a Murder Store. Everything you need to kill someone, including the weapons and cleaning products for body disposal. You can only get in if you know the password, although every potential client used a different one, so the screening process must have been crap.
Dad's Army featured both sides of the World War 2 Black Market with the classic 'spiv' Walker selling all sorts of dodgy goods 'off the back of a truck' and the genial Jonesy quietly providing extra sausages and the like from his butcher's shop.
Power Rangers Jungle Fury: Implied to be how RJ got his morphers — apparently, he "knew a guy who knew a guy who had an uncle". How else is a guy running a pizza shop who isn't a rocket scientist going to get some of those?!
In Heinlein's Between Planets, there is a flourishing one on rebellious Venus to, among other things, convert Federation currency to Venus Republic bills.
In Dan Abnett's Ravenor Rogue, Ravenor and his retinue go fishing for "coherence" on a planet. They badly offend a merchant by going about it the wrong way. Eventually, they make the right hook-ups to reach the psychic door that will take them to where they need to learn the information.
A black market is the beginning point of the Nero Wolfe story "Before I Die", published in the omnibus volume Trouble In Triplicate. It's set in 1946, after WWII, but with food rationing still in full effect. When a crime boss tries to hire Wolfe to stop a blackmailer, Wolfe declares that he'll accept the case only if he's given access to the meat black market as part of his fee. The crime boss agrees and provides a phone number of a man "who might have meat", and the necessary password.
Robert Lynn Asprin's Myth Adventures novels features the Bazaar, which fills the entire dimension of Deva, and serves as the Black Market for all the other dimensions. People go to Deva to buy things that are illegal in other places, usually for a good reason.
Knockturn Alley in the Harry Potter novels. Also, Hagrid's frequent purchases of contraband magical creatures. Technically, the entire wizarding-world economy is an example of this trope. It operates beneath the notice of the Muggle government, using its own unsanctioned currency, and with apparent disregard for Muggle tax laws and trade regulations.
In Persepolis Mariane buys Iron Maiden tapes at a black market in Teheran.
In The Hunger Games, District 12 has the Hob, which operates out of an abandoned coal warehouse. until it goes up in flames
Inverted in the Left Behind books, as Christians operate an underground co-op during the latter half of the Tribulation when the Mark of the Beast is in place.
In Replica, there is a thriving Black Market. Though it's illegal, many Executives not-so-secretly use it.
The Infrared Market in the RPG Paranoia. The secret society Free Enterprise has a major hand in it.
In the RPG Shadowrun, the players must usually turn to this to unload any loot they acquire.
In Warhammer 40,000 a Black Market is standard rather than exception in the Hive cities and major spaceports in the Imperium of Man.
The underground enclave of Skullport in the Forgotten Realms thrives on this trope, being the site where Underdark trade routes and surface-world black markets intersect.
The Black Market in Rifts is probably more grey than anything. They sell weapons and armor from both legitimate vendors and "acquired" military gear. At least one faction of the Black Market is one large organization that even own a Powered Armor factory out West.
In TravellerInterstaller Wars, the Vilani duraag serves this purpose. This is a generic term for all black-market activities in the Vilani Imperium. Theoretically all trade in the Vilani Imperium is dominated by the three Shangarim (major castes). However it is common enough to secretly trade in the duraag. Marginalized people trade there. Sometimes as well important grandees, when short of supplies will arrange to make exchanges there. So in a sense it is "another branch of the empire". When a Terran Intrepid Merchant vessel arrives carrying the swashbuckling PCs to smuggle, raid, and gain glory and gold in the Vilani Imperium they will tend to go here.
The elven markets in Dark Sun, where you can even buy prohibited magic.
One of the earlier examples is found, of all games, in Kid Icarus. The Black Marketeer's goods are both more expensive, and in many ways more useful than the stuff you get from the normal shopkeeper. You could also find a credit card that would allow you to buy an item from him you couldn't afford, but you wouldn't gain any more money until you paid the balance off. Even worse, the second world in the game featured thieves that could steal your powerups... guess where they showed up?
There's a fence in each Quest for Glory game where thieving types can unload their loot.
There are fences in The Elder Scrolls IV: Oblivion. There's also a vendor called Shady Sam who is dressed in all black, hangs around outside a city wall and sells illegal goods.
One-Eyed Sam's in the NetHack variants Slash'EM and UnNetHack.
A game mechanic in Sins of a Solar Empire. You do have to wonder where criminals are getting all these resources to sell you. There's enough trade for there to be price fluctuations, so they aren't just trading with you.
There's a very, very small one in Tancred's in Summoner, but the only place you get illegal goods is from him.
The Mammago Garage in Beyond Good & Evil is a place that sells rare and illegal modifications for various vehicles, such as jumpers (for hopping over government laser barriers) and space engines. Of course, they only accept illegal pearls.
Angband and most of its variants have black markets in the town. The black market can sell any item in the game—but at a substantial markup.
The Wild ARMs series has black markets in every game, traditionally in the form of a shop hidden within a normal shop, often requiring you to have to have some sort of authorization to interact with (in the form of a Black Pass, which oddly enough is found in a random treasure box in the middle of a dungeon). In the earlier games, they simply sold rare things that you couldn't buy elsewhere (like healing items), but in the fourth and fifth games they started selling the best equipment in the game... at the cost of your characters' levels rather than money. Cue Power Leveling.
In Wild ARMs 2 the black market is the only way you can get healing items without winning them (very rarely) from enemies.
Tropico 2 has a literal version in which the Black Market is a marketplace-type structure you can construct on the coast that allows you to buy weapons for piracy.
In City of Villains, the player-driven marketplace is called the Black Market. Imagine that.
Both of the Mercenaries games have these. In the first game, there's the Merchant of Menace, whose prices depend on your current standing with the Russian mafia (get on their good side and you'll get discounts; get on their bad side and you can't even use the service). In the sequel, it's the Caribbean gangsters who play this role.
The browser game Black Market unsurprisingly features a black market or two.
Barnabas' Black Market in ADOM is the only general-store style shop in the early game. It often has good stuff, but the prices are quite steep unless you're the head of the Thieves' Guild.
In Sonic Adventure 2 and its RemakeSonic Adventure 2 Battle, there's the Black Chao Market. Both function the same way - it allows players to pay rings for Chao toys, specialized Chao Eggs and even brand new soundbites for the main screen. However, it's how you got there that differed - in the original, it was an actual Sega-ran website. In SA 2 B, it was a market that you went into in the Chao Garden hub world.
In Mass Effect, various types of markets, both black, white, and grey, are depicted.
In Mass Effect 1, your supply officer on the Normandy justifies making you pay for gear because he strictly speaking is only authorized to draw on supplies of Alliance standard issue gear (that is, what you are issued at the beginning of the game). He spends money out of pocket to get you the good stuff from various sources, and needs to be reimbursed.
Various places avoid the normal restrictions on the sale of certain goods by operating out of the boundaries of Citadel Space, such as Noveria and Illium. It is lampshaded that certain dangerous products, such as Red Sand, which are considered contraband in Citadel Space, are actually perfectly legal on Illium and thus aren't actually Black Market.
The Black Market Auction House in World of Warcraft acts as a source of items removed from the game, high-end items that are difficult to acquire legitimately, and rare vanity items such as mounts. Both factions are able to visit and bid on items. It was introduced partly to act as a gold sink, as even the least expensive items still cost several thousand golds for the first bid.
Borderlands 2 has a black market run by Crazy Earl, who sells inventory upgrades that increase the amount of ammo/guns you can carry in exchange for Eridium, the game's Purple Rocks.
Family Guy: Somewhat parodied when Lois and Peter are trapped in Cuba without passports. They find the Black Market, which is pretty much a Walmart with bombs and other weapons. They even had a "Black Market Club", 10% off your first purchase! Sadly for Peter, they do not accept bits of string as bartering objects.
Usually, real black markets are not nearly as dark or as fantastic as fiction makes it out, and involve non-exotic goods that are not legally available being sold in small, privately owned shops. While they are technically illegal, the local law enforcement rarely, if ever, prosecutes the merchants involved. One typical example would be a fan-convention which sells (at a high markup) locally-unavailable anime products smuggled in by travelers from the products' home country.
Asian countries are known to have bootleg vendors that operate out in the open. In Seoul, South Korea, a lot of the street markets will have bootleg DVD's being freely sold. These vendors are often gracious enough to have a small TV and DVD player available to ensure their quality.
In the US, you'll find the same thing in nearly any fannish convention you attend. Just as illegal!
During the Prohibition Era, alcohol was brought into the US from other countries and sold in secret bars called speak-easies.
It wasn't always bought from other countries. Other times it was made in people's homes and sold, which is called moonshine. There were also two legal sources people could still get alcohol from, for religious purposes and if it was prescribed by a doctor. People exploited this just as much as you expect.
Then there is the darker side of black markets where drugs, weapons, and even forced prostitution are sold.
The various "businesses" running on the TOR anonymity network. Located in the so-called "deep web" (the part of the internet that cannot be reached by regular search engines), the traders are protected by some of the most powerful encryption softwares publicly available and transactions are done via Bitcoins, an untraceable digital currency. The most famous of the TOR shops are Silk Road and The Armory, specializing in illicit drugs and weapons, respectively. Although if you look carefully, you can probably find 'anything you want down there (from pirated video games to child porn to hitmen for hire), legality be damned.
Many Communist nations do business in the black market, in some cases its the only reliable place where they can get anything at all. From guns, fuel, food... they trade/buy with anything that they need from it.