If you do not feel like experimenting, choose churros con chocolate. It is hard to go wrong.
If you like soft, creamy desserts, try flan, crema catalana, or natillas.
If almonds are your thing, look for tarta de Santiago and panellets.
In Mallorca, I would not walk past an ensaimada, and in Galicia, I would definitely try tarta de Santiago. Desserts like these are more interesting when you eat them in the place where they actually belong to the local food culture.
There is also a seasonal side to all of this. Torrijas are easiest to find before Easter. Polvorones and mantecados fill the shops before Christmas. Panellets are especially common in Catalonia in autumn.
That means the sweets section of the same Spanish supermarket can look completely different in July and in December.
And in general, when you are in Spain, it can be more fun to skip the trendy dessert with the highest rating and just walk into a small neighbourhood pastelería to see what local people are buying.
If you are not sure what anything is, just ask:
¿Qué postre típico me recomienda?
In other words: “Which local dessert would you recommend?”
Then just try it. Worst case, you get something sweet with your coffee. Best case, you discover the dessert that makes you go looking for that same little pastry shop again.