This store (it's actually 2 with the same owner, right next door to each other) is excellent -- though hard to find.
It had a large selection of crafts and local interest items in all price ranges. Things such as pottery, clothes, jewelery, old and new photos of the region and home decorations. Additionally the prices were reasonable -- the pottery was cheaper than most places in Old Town Albuquerque and all of Santa Fe. Choose from a nice array of Navajo pottery as well as many pueblo pieces. There were also educational and play crafts that kids and adults can enjoy.
It's along the Jemez Mountain Trail Scenic National Byway, according to the receipt near Cannon AFB. You have to look for signs, but if you want to call ahead, the number is 505-829-3864. Expect the store to be empty. The owner, a friendly man, had to unlock the second shop for us.
Learn from my mistake: We found this shop on our first day in NM. While my boyfriend bought a gorgeous Navajo vase, I figured there would be plenty of similar small-shops-in-the-middle-of-nowhere that I'd see during a week of driving around NM. No such luck. If you want these prices, your choices are limited.