I know how to add coordinates to the border of the map, both inside and outside. But I was wondering if there's a way to add coordinates next to grid markers, such that when I choose the option to have the cross markers, each cross has coordinates next to it.
I don't know of any way to do this in QGIS Composer (as of QGIS 2.18.3)
One possible workaround is to create a regular grid of points - in this case, I'm using a UTM grid (EPSG:27000) and created a grid with Vector > Research Tools > Regular points, using a + (cross) marker, and label them with an expression like
to_int($x) || ',' || to_int($y)
In this case I've placed a marker every 5km. The values aren't falling on nice round numbers, because my canvas extent wasn't aligned to a nice round number.
If you want lat/lon coords instead, you might want to use the round() and to_real() functions in your label expression.