Shopping

It's actually good to shop around, it provides livelihood to locals in Mecca and Madina.

Dates, prayer mats, tasbeeh, miswaq, decoration items and gold there's lots of stuff to empty your pockets. You just need to know your limit.

Madina is a lot cheaper than Mecca for almost everything.

There's a shop near gate 22 on King Fahd Road which gives away all profits for Madarsa education in Madina, it clearly says outside the shop, they don't bargain but it's worth buying some stuff from there. You may also buy chairs from there (as Sadaqah Jariyah) and request them to send these to Masjid Nabwi (for people who offer Salah sitting on the chair).

Dates

There's a Date Market on South of Masjid-e-Nabawi, few minutes taxi drive. However, you must know what are you buying, keep your eyes open when it's being packed and check inside.

Ajwa (cultivated in Madina Tayyiba), Medjool and Sukri are few popular varieties. You have Ajwa by grades, so Grade 1 would be largest dates, and then grade 2 and so on. If you buy say Ajwa Grade 1 make sure its the same when it is packed.

Bargaining is the key.

You don't necessarily need to go to Date market unless you are buying in very large quantity, because you would have anyways spend SAR 30 in the taxi, so sometimes it makes sense to buy near Haram which is slightly more expensive.

Gold

There's a Gold market south of Haram, there are several stores north of Haram which are slightly dearer.