What to buy: The shop at Malealea Lodge sells Lesotho blankets made out of wool, and this is a good place to buy them if you want quality. I tried asking around in Maseru, and I was always directed to stores that were selling cheaper blankets made out of synthetic material.
Miscellaneous: If planning a trek with the lodge, they recommend that people patronize the local general store. However, the store is extremely limited: they have apples, peanut butter, white bread, and a few canned goods, flour, etc. It is best to stock up on food supplies while in Maseru.