The Théo Brandão Museum of Anthropology and Folklore gives Maceió a useful inland counterpoint to the beach. Its collection focuses on Alagoas folk and popular culture, including crafts, ritual objects, and regional traditions that explain some of what you see in markets and festivals.
The museum is small enough to fit into a slow afternoon around Jaraguá and Avenida da Paz. It is especially worthwhile before shopping for crafts, because the context makes the lace, figures, and festival imagery less anonymous.