Mercado de San Juan is great for fruits, vegetables, meat and lots of imported products - cheese, oriental sauces, etc.
Central de Abastos is the central market (enormous) which is great for everything -- from fish & seafood, meats & poultry, flowers (magnificent), and dry goods (esp chiles, nuts, raisins, spices, etc.) -- wonderful
Av. Masaryk in Polanco has all the designer stores
La Condesa has more boutique-y type shopping