Well, Hashidam's is the best sweet shop in general, if you think you can handle it. You have to be kind of brave to visit, though. It's not for the faint-hearted.
If you want something a little more predictable, one of the ice cream stalls sells good individually-wrapped fudge on weekends. There are some great bakeries elsewhere in the city, but those would have to be my recommendations in the Bazaar.