Your choice: Carpets
Buying carpets in Turkey is a big thing, just be carefull when they try and sell you "old" carpets, cause they might not be that old. They put the carpets in the road, cover it with dust and let the cars run over it for a day or two , shake off the dust and then sell it for "old"
open air: Pashmina's
Wherever you go, they will have pashmina's for sale and they will try and tell you that their local woven ones are much better than any from China or india. Anycase they make a nice gift for someone back home.
Like in all the touristic sights you can do your souvenir shopping in Kaymakli too! There is a small market (pic 1) near the exit of the underground city so you can check some items there. They have all the typical souvenirs of the region, the beautiful plates, the dolls from Soganli village (pic 2). Prices are normal, if its your last day in Cappadocia you can buy some items here but as I said there’s nothing you cant find in the other towns/sights.