No visit to this city is complete without buying some bead work or embroidered purses, bags, shawls, tunics etc. Also, you can get very good quality fabric silk, satin, cashmere, pashmina etc. from the various emporiums run and operated by the governments of the different states of India in this capital city. One visit to Bhopal will give you an exposure into the various kinds of fabric and material, arts and crafts that come from different parts of the country.
To buy arts and crafts specifically originating in Madhya Pradesh as well as fabrics/ sarees/ shawls from Madhya Pradesh, visit the MP Government state emporium Mrignayani (http://www.mrignayani.com/)
To buy some authentic north indian fabric and shawls head towards Lakherapura in the old city. The Chowk are is also famous for the traditional glittering ladies purses.
Also visit to New Market is worth a try.