From Kota Kinabalu, head north, passing through the town of Tuaran. Proceed further north towards Kudat. There should be plenty of sign board showing the direction to the town of Kota Belud, about 1 1/2 hours away from downtown Kota Kinabalu.
This is among the most famous weekend markets in Malaysia, mainly due to its cultural value. The market is only opened every Sunday. A wide area of empty space, located some 5 minutes from the small town centre of Kota Belud suddenly becomes abuzz with a hive of activities.
The market is predominantly organized by the indigenous ethnic Bajau tribe, also usually known as "Cowboys of the East" because of their skills in riding horses (not to be mistaken with the ethnic Bajau Laut tribe in Semporna, known for their seafaring prowess). Images of Bajau people riding horses with the majestic Mount Kinabalu as the backdrop are often photographed in travel magazines and postcards.
I saw a lot of local food sold here, of varying delightful colours and tastes. Naming each of them will take you almost a day. There are also a lot of exotic handicrafts which make good wall decoration in your home. I ended up with some colourful beads (you wear them on your wrist, locally known as gelang tangan), a few tudung saji and some samples of the local kuih (sweet desserts).
Usually there is also a buffalo auction being conducted. The highest bidder gets to go home with a buffalo (don't worry, you don't have to bid for one). When I was there, he auction had already ended.
Exotic cultural experience overall.