There is really only one thing to shop for in Pienza: pecorino. The Corso Rossellino has at least eight cheese shops, most family-run, almost all offering tastings of fresh, semi-aged and well-aged pecorino, plus more unusual versions wrapped in chestnut leaves, packed in oak ash, or matured in wine lees. Prices are reasonable by Italian standards.
Beyond cheese, a couple of shops sell honey, saffron from San Quirico, lavender bags, and the ubiquitous Tuscan ceramics.