The old Silk Road crossroads lives up to its reputation with great markets and bazaars, full of both classic goods like silk, jade and carpets as well as contemporary goods from all over China, Asia, and the world.
The Sunday Market is legendary. Known in Chinese as the Zhongxiya Shichang (West-Central Asian Market) and in Uighur as the Yekshenba Bazaar (Sunday Market), you'll find an amazing mix of locals, nomads in from the grasslands and mountains, villagers, tourists and merchants from around China, India and Pakistan (and indeed, more 'stans than you can shake a stick at). In addition to the colorful crush of humanity, there are donkeys, horses, sheep and enough other species to give Noah a run for his money. Fruits, vegetables and spices; pelts, furs and leather; clothes, boots and raw silk; every kind of implement and tool imaginable—the Kashgar Sunday Market appears to be set to restock half of Central Asia's households, from the humblest nomad yurt to the most ostentatious mansion.
Beyond the Sunday Market, there are many smaller bazaars and markets to explore. Carpets are plentiful and relatively cheap in the area northeast of the Id Kah Mosque. You can also find all sorts of regional arts and handicrafts in shops around town; the Handicrafts Center brings some of the best together in one area, just north of the mosque on Jiefang Lu. You can also find great Central Asian hats, clothes, jewellry, knives (a big seller), musical instruments and keepsakes. As a general rule, anywhere there's shopping, there's food and drink.
If you don't get enough shopping during the day—or simply sleep through it—the Night Market can provide. It's held on and around the southeastern corner of the Id Kah square and is a great place for a bit of snacking and a spot of Uighur tea while watching the fascinating world of Kashgar go by.
Keep in mind that the best bargains are likely to be found away from the biggest crowds, though even places that seem like tourist central you should be able to bring the buyer's price down significantly.