Santa Fe is wonderful, I try to get there at least twice a year, this past year I went to Indian Market and it was better than I'd imagined.
I like to eat at Thomasita's, the food is reasonably priced and delicious.
I like the Shed, too. I had an outstanding bowl of mushroom soup there.
The Railyard District has been busy bringing in galleries and shops so maybe see if you can snoop around there a bit.
I like going to the Governor's Palace to buy directly from the Native Americans, I respect their culture and like to support their art.
Go to Gilbert Ortega, just to spend a large amount of time looking and since the pueblos are all represented, it's a good fast way to develop a feel for the different styles that come out of each pueblo.
We drove the 40 miles west to the Acoma pueblo and took their tour. The pueblo is matriarchal, so tell the men in your group to behave since the tour guide will have disrespectful people, especially the males, escorted off the pueblo.
If you have time, take a drive down the Turquoise Trail. If you stop off in the town of Madrid (pronounce Mad-rid, not Ma-drid) it's like you've discovered where all the Deadheads are spending their downtime.
I suggest taking home a bottle or jar of green chile, if you don't, you'll regret it.
Have fun.