Find yourself an "underground" market and barter for knock-off watches and purses. Check for pearls too, if you're shopping for a wife or girlfirend. Old Mao memorabilia is pretty cool. There's always the touristy stuff: Chopstick sets, hanging scrolls and other art, tea sets and tea, your name rice paper. When you are at shops, haggle for everything. They know who you are and price accordingly. Haggling is great fun too.
Otherwise, some of the coolest thing are area specific. For example, I spent a week in Liuzhou for work. In the past, the city was know for, of all things, manufacturing big, ornate coffins. Most of the shops now sell miniature coffins. I keep one on my desk at work. It's a cool conversation piece that holds a specific meaning to the city.
Last time I was in Shanghai was with a co-wroker who had never been. We hit up a market and both got watches (mine is actually still working, I wore it today), I got a wallet for my wife, he got pearls for his wife, and we both bought some Chinese games for kids.