Go to your local panaderia. The supermercados do have decent bread, but you can get fresh baked goods at your local place usually any time between 7am and 8pm.
However, if you mean french baguette as in the true french baguettes that are slightly sweet and melt in your mouth, I haven't found a place that makes them. I don't know if there are any authentic french boulangeries or patisseries here.