La Ciudadela is a large artisan plaza located a 10-minute stroll from Metro Balderas or 5 minutes from Metro Juarezs. Handicraft/artisan items from all over Mexico are sold here at very reasonable prices. I highly recommend going here instead of the markets in Zona Rosa due to the broader selection and better prices.
If you're near Bellas Artes, it's about a 15min walk. Walk down Juarez towards Reforma and turn left on Balderas.
When you get out of the Balderas metro station, walk down the sidewalk with all the street vendors (don't take too long looking around, as the main attraction is farther down). After passing by a library and small park, you'll see a yellow wall and you're there!
When I was there with a group of friends, we picked up lots of glass cocktail stirrers with different animals designs on top (5 pesos each) and rings and bracelets (5 to 15 pesos). Spending under 150 pesos each, we came out with plenty of bags and smiling faces.
Other handicrafts include ceramics from Queretaro (a World Heritage Site 2 hours north of DF), leather items, obsidian carvings, amazing papier-mâché (pricey), and painted gourds and blankets (sarapes) just to name a few.
Open Monday to Saturday 10am to 7pm and Sunday 10am to 6pm.
Website: http://www.laciudadela.com.mx/ (English and Spanish)