The Swedish Bakery produces a complete range of baked goods - from cookies and bread, to pastries, chocolates, and cakes. Their prices are extremely reasonable, and I'm actually a huge fan of their pastries. If not for the fact that I lived in the South Side, I'd probably stop by everyday, to the detriment of my weight I'm sure.
They also bake cakes to order, so if you have a birthday coming up, that's something to think about. They also have smaller cakes always ready for sale in case you just forgot someone's birthday.
Strangely enough, despite the "Swedish" part of their name, I've never tried any of their traditional Swedish products. I spend my time eating their Eclairs, Cream Puffs, Napoleons, Truffles...