Without a doubt, Meson de Candido is a must-see. It is probably mentioned in guides, but locals from nearby Madrid flock there on weekends to have the suckling pig (cochinillo) and the baby lamb (cordero lechal).
I would recommend having the "aperitivo" at a couple of places near the center (start at one place, the ask the waiter where to go next). Have one tapa and one drink (vermouth on tap is delish) at 2 or 3 places, then head over to Candido's for the main course. I assure you if you just go for tapas you will regret having missed that delicious and typical Segovian dish.