I was stretching a bit to call this "shopping" but anyway...If you want to see the local ranchers, cowboys, and culture, this is a good place to start! Producer's is the largest sheep auction in the USA and the largest cattle auction in the southwest. Sheep sales are held on Tuesday and cattle sales are on Thursdays. There is no admission charged, but be careful that you don't bid!
The restaurant at Producer's is pretty good. They serve steaks, burgers, and home-cooking food. (Hint: don't ask for a veggie plate!)