You'll find a wide range of Uighur handicrafts on sale at Er Dao Qiao Bazaar, but the environment has recently been turned into a tacky tourist trap. On what used to be on airy outdoor market now stands a Hong Kong developer's interpretation of Uighur architecture, massive beige-brick buildings, complete with a Carrefour and KFC. For more of a local flavor, head to Ribiya Dasha, a building erected by the Uighur businesswoman Rebiya Kadeer who became famous in the Western press after being jailed by China as a political prisoner. Outside, around the perimeters of the building, bright fabrics, televisions, jewelry, and appliances are sold. Also nearby is Baihetiya'er Huangjin Shoushidian at Jiefang Nan Lu 197, which sells affordable gold, silver, and platinum jewelry. The necklaces are particularly elegant. Watch the Uighur women bargain, and see if you can get a similar price.
For carpets, you should avoid Er Dao Qiao Bazaar and its scary assortment of pushy salespeople who don't know the first thing about carpets. Head to the Carpet Factory of the People's Government (Renmin Dahuitang Gongyi Lipin Xiaoshou Zhongxin) -- where government officials shop for gifts for foreign dignitaries. Here, they sell mostly new carpets, in both silk and wool varieties, fit for export. Goods can be bargained down by 50% at least. If you have trouble getting in (the store is located within the People's Government Compound), give them a call (tel. 0991/483-6698) and they'll escort you from the gate. Shopping here is generally reserved for the rich and the well-connected Chinese and Uighurs; it's open from 9am to 5pm. Another area to check out carpets is Tianhaai Lu, behind Er Dao Qiao Bazaar. There are several stores here that will have some antiques, but prices are high. Those hunting for books on Buddhist art will find an excellent selection of pictorial and theoretical works at Tian Zhi Ya Shushe, in a small lane just east of Xinhua Bookstore, at Jiefang Nan Lu 348.
To stock up on snacks before a long bus or train journey, there are plenty of supermarkets around the town center; the one in the basement of the Parkson shopping center at the southern end of Youhao Nan Lu is particularly good, as is the vast and always busy Carrefour at Er Dao Qiao Bazaar.
