Tegucigalpa has two major markets. The larger, San Isidro market, is in a labyrinthine building located in the heart of a massive open-air bazaar. This area can be somewhat dodgy, visitors would do well to avoid walking around with valuables, and toning down their gringo-ness (i.e. wear long pants instead of shorts). We also advise all travelers to avoid their fish section if it's a particularly hot day, a mistake this writer made.
The second major market, Mercado Mayoreo, is just a 15 minute walk from downtown and is actually quite pleasant and safe, a great place to grab a meal. (See the restaurant entry for details on how to get there.)
For more upscale shopping, try the Mall Multiplaza, a western-style mall located opposite the Intercontinental Hotel. If you're looking for handicrafts, Tegucigalpa's not the best place; Valle de Angeles has better selection and prices. There is also a small Mercado Artisania on Ave. Cervantes.