The small market in the large square in front of the Ram Raja Temple is where there are lots of stalls selling Indian sweets. A guy called me over and gave me a few samples to try. They're very sweet, sickly so and taste and feel like fudge.
The good thing in this market is that no one will hassle you. While they will offer initially that you come and look and their goods, they will not keep pestering you to buy. A lot of the stalls sell the same thing unfortunately and you have to wonder how they make any kind of living.
The village bazaar is the central part of Orchha with ruins lying all around. You will find all kinds of brassware and other metal works, antiques and jewellery to tempt you. You will also see the colourful pots of Gulal. Don't expect to do any great shopping in Orchha except for maybe a few trinkets.
Go to the local market, buy some souvenirs (very cheap)
What to buy: I bought here a Visnu. An abstract figure of the god Visnu, who brings good luck...:-)