Dear Tashidelek : Khan Market is located near Lodi Road in South Delhi. Nearby landmarks include the Lodi Gardens and the UPSC on Shahjahan Road.
I prefer the Sarojini Nagar Market in Sarojini Nagar. You can everything you need in the Sarojini Nagar Market that too at very reasonable prices. There are shops selling everything from bed sheets, crockery, saris, salwar kameez, dress materials, inner wear, toys, and consumer goods.
Many families come here for shopping whenever there is a wedding in the family as there are shop owners who are now the second or third generation. There is a vegetable market too for those looking for fresh vegetables.
If you care for a bite after all the heavy duty shopping, there are plenty of options from dosas to burgers and ice creams.