Right downtown, on the west side of the Capitol building, there's this little store that sells all sorts of toys, games, clothes. It's very cute, and it's locally owned, which I believe is important to support in this flagging economy. The last time we shopped there, the owner helped my wife pick out some toys for her visually impaired students that really fitted her needs perfectly. It's not everywhere that you can go and get that kind of individualized attention and service.
Pros: Small locally owned business, kid friendly, there's a play area in the middle of the store
Cons: You might have to walk a block or two from where you park, depending on when you go there. This is especially true Saturday mornings in the summer, when the farmer's market is happening.