The main Uigur Bazaar in Yining is south of Youth Park (Qingnian Gongyuan), where you can buy knives, clothing and jewelry as well as more practical items (like pots and pans) that are available in other Uigur markets and bazaars in Xinjiang.
For some of the fruits that make the Ili Valley famous, explore the "Covered Food Market", near to the Bazaar south of Youth Park. The high season is July and August.
There is a busy night market outside the Ili Hotel with a good selection of local specialties. Watch out for pickpockets and bagslashers around here, especially late at night.