Do pick up some 'baal mithai' from the market. Made of condensed and concentrated milk, covered with little sugar beads, the sweet is a local specialty. You can also try 'singaudi' which is rich in sugar and ghee.
Another excellent shopping option is shawls at KRC Shawl and Tweed Factory and Outlet. Located in an old church with high ceilings and stained glass windows, do visit the factory to watch the weavers at work as they churn out shawls in all hues and patterns possible.