The Mercado de Artesanías de Valladolid (crafts market), at the corner of calles 39 and 44, gives you an overview of the local merchandise. Perhaps the town's primary handicraft is embroidered Maya dresses, which you can buy here or from women around the main square. Yalat, on Calle 39 at Calle 40, sells unique folk art from throughout Mexico, specializing in the Yucatán.
Valladolid is in cattle country, making it a good place to buy inexpensive, locally made leather goods such as huaraches (sandals) and bags. On the main plaza is a small shop above the municipal bazaar. A good sandal maker has a shop called Elios, Calle 37 no. 202, between calles 42 and 44 (no phone). An Indian named Juan Mac makes alpargatas, the traditional Maya sandal, in his shop on Calle 39, 1 block from the main plaza near Calle 38 (across from the Bar La Joya). There's no sign, but the door jamb is painted yellow. Juan Mac is working there most mornings. Most of his output is for locals, but he's happy to knock out a pair for visitors.
Note: This information was accurate when it was published, but can change without notice. Please be sure to confirm all rates and details directly with the companies in question before planning your trip.