I'm not sure if this is exactly an answer to your question, but it's certainly closely related. One of the Novels (new laws) of Valentinian indicates that smuggling of various goods was quite commonplace within the Empire. Sadly it contains no detail on what these goods were, but that in itself could be taken as an indicator that a wide range of items subject to tax were available on the black market outside cities. It seems that certain places may have been hotbeds of such activity:
Thus We sanction by the divine response of Our Majesty that secret trade shall no further make the merchant rare in the famous cities, and that crowds of merchants shall no longer be hidden in obscure and sequestered places to the detriment of the public tax payments...
... all persons who have avoided the cities and are practicing the business of trade throughout the villages and very many ports and various landholdings, shall be held liable for the interests of our treasury...
Edit: just realised I didn't make it clear that this is Valentinian III.
In Ancient Rome, there was a black market for magic. In the ancient world it was commonly believed that you could put spells on other people, for example to make them get sick or have an accident. These curses were banned under Roman law, but magic was still practiced, mostly amongst the lower classes by witches and their clients. According to Pliny, a freedman called Gaius Furius Chresimus was once prosecuted for using spells to entice his neighbor's crops into his own fields (Book 18 of Natural History).
This thread from a few months back had a post claiming that Jesus ordered his disciples to buy swords so that he would be considered a criminal by Roman authorities for "having a stockpile of weapons".
I don't know how accurate this is, just something I read earlier.