Prices of everything are quite high, don't expect a real bargain, but the market could be called cheap if we compare it to Duty Free at Moscow airports.
Unique Suggestions: Take a lot of money with you, but put it safely out of reach of street theifs. (My wallets were stolen from my pockets and bags in Moscow many times.)
Fun Alternatives: It is the best to buy everything (Russian souvenires) at other towns, far from Moscow, if you plan to go there as well.
If you want to buy souvenirs, be very careful about the quality. A friend and I were at Ismailova once at dusk, when it was VERY cold, and found a "great deal" on some lacquer boxes. In the dim light it was hard to see that they were actually decoupaged not hand painted. Fortunately I only bought one. If you're buying lacquer boxes or panels, examine them in good light, feel for ridges where pictures may have been glued on, or turn it in the light to see if there are telltale dots of color like pixels. Good lacquer peices should be handpainted and you should be able to feel nothing. The lacquer should be so thick that even the paint doesn't stand out. They should be signed and be from one of four places: Mstera, Palekh, Kholui and Fedoskeno. And most of all: do not partake of Vodka offered by the vendors! It will not help your bargaining skill!
Unique Suggestions: If you decide to buy the pretty but questionable stuff anyway, bargain the daylights out of 'em!
Fun Alternatives: Shop during the day when fakes are easier to spot.
While visitng any flea market or spontaneous trading tourist location like Old Arbat street and wanting to buy something - BARGAIN!!! Prices are set for 'wealthy' tourists. Majority of sellers there speak English, some of them are really fluent.
GUM is an overrated, overly expensive, and overly predictable Russian 'mall' with various shops from all over the world. Ranked as one of the top five most overpriced stores in the world, it would be best to go to one of the Ramstores in Moscow if you're desperate for a shopping mall.
And if you are curious about the stories of McDonalds attracting long lines, that story is old news. There are over 20-some Macs in the Russian capital. The food tastes the same, the people that work there dress in their polyester outfits the same as anywhere else, and frankly going to Moscow to see Mac's shows limited cultural awareness.
Watch out for the street vendors. Thay are very persistant to sell you their goods. Check around for the best prices. Avoid the shopping centers for cultural items, as they are high in price. There are many good bargins for the patient shopper.
Arbat. Unfortunately, if you have to buy lots of gifts, momentos, etc., you will most likely be stuck going here. Both sides of the street are lined with vendors who have everything a tourist might want on their tables. Make sure you are familiar with the range of options and prices for products - there are tons of matryoshki (wooden nesting dolls), for example - make sure you know what's out there before you buy. There are no returns. You will get yelled at as you approach and leave, people will try to pull you over to their table, children will grab on to you. One slightly less wearing option is the Izmailovo Flea Market. It's farther out in the city (at the stop Izmailovskii Park), but the metro makes that fairly unimportant. Don't let the name fool you - it has the same stuff as the Arbat, but is more geared towards Russians, which makes it much more interesting. There's quite a bit of art here. The downside is that people only gather at Izmailovo weekends (ask if that's still the case), whereas Arbat is filled with demanding vendors every day.
Don't go to Sparrow hill to find souveniers. The same matruschas and boxes are at Ismalovsky park for half the price.
Unique Suggestions: Do go to Sparrow hill for the view.