So with the big show about to begin, let's go over one of Beijing's greatest pleasures, the shopping...
Wangfujing - This has long been a shopping street in Beijing, dating back before there were such things as malls, but now, its bookended with the huge Dongfang Plaza at one end and the almost as large XinDongAn (or APM) at the other. In between are a bunch of Chinese brands, official Olympics souvenir stores (including the Flagship store), and foreign sportswear brands. It's a must see for any tourists and is sure to be hopping nightly during the Olympics.
Xidan - It often gets compared to Tokyo's Shibuya, but its nowhere near as stylish, however it is where Chinese teens while away the weekend hours and plop down their (parent's) cash. My love of Joy City has been well documented, but there is also Time Square and the oldy but goody Zhong You. Also Xidan Shopping Center and 77th Street are good for a younger, more Korean/Chinese version of Silk Alley. There will also be large screens set up as the plaza in front of Zhong You has been designated an Olympic Culture Square, a site for taking in all the festivities.
Sanlitun - Surprising that this would be on a list of shopping destinations, but in a small area there is Yashow (more on this later), the newly opened up Villages of Sanlitun with a lot of mid-priced foreign brands and the huge Adidas store, and then the interesting 3.3 and Nali. The last two offer high quality copies of very hip, trendy clothing, but the prices aren't exactly cheap (by Chinese standards at least.
Silk Alley/Hongqiao/Yashow - These are all pretty much 1 place in that they all sell the exact same stuff for the same price, so a trip to one of them is enough. They all sell the same fake everything (shoes, clothing, bags, electronics, you name it), though while their electronics are all brand new (find fakes of the latest iPods and iPhones), the majority of the clothing and bag designs at these places hasn't changed in 10 years. Prices are cheap and of course, everything is to be bargained for, but buyer beware, almost everything you buy at these markets IS NOT REAL and depending on your luck can last anywhere from a week to 5 years.
High End Shopping - Why are you shopping for high end things anyways? If you are from the US or Europe, you'll be met by shockingly high prices for designer labels as there is up to a 30% import tax on a lot of luxury items. However, if you find that special someone during the Games and want to impress, the best choices are the new Central China Mall (Hua Mao) at Da Wang Lu; Guo Mao; and Season's Place (with mainland China's only Lane Crawford), just north of the Fuxingmen subway station (while you're over there, check out Parksons as well).
Nanluoguxiang - This popular alley has gotten a lot of (deserved) press over the past few years with a number of great bars, restaurants, and interesting boutiques. Shops that are particularly worth checking out are Plastered and NLGX for interesting, very Beijing tshirts and Woo, for beautiful cashmere scarves and shawls. Also, while I'm not a fan of the Grifted designs, many are.
The Place/Solano - The Place is a very nice, new mall located a little north of Silk Alley and it carries a lot of mid range Western brands, including Beijing's largest Zara, and an NBA Store. It is serving as an Olympics Culture Square, so expect crowds, and hopefully its mega overhead screen will be showing Olympic events. Solano is an even newer mall north of Chaoyang Park's West Gate (not far from the beach volleyball entrance and that area's Culture Square) and carries a lot of the same brands as The Place, but in a setting seemingly straight out of California.
One store that may be of particular interest to foreign shoppers is "Hotwind". They have outlets around the city and sell a wide variety of men's and women's clothes that carry the labels of popular western brands that are all made in China but end up there instead of outlets. Expect to brands like Hilfiger, Paul Smith, Abercrombie, Hollister, Zara, and Polo to name a few, all in much better shape and quality than what you'd find at Silk Alley. There's no bargaining here, but the prices are pretty good. Whether or not the items are real or not, I leave that for you to decide.
Some other great options are Panjiayuan for antiques and other knicknacks as well as Liulichang for a similar selection of merchandise as well as some local art. Many foreigners love to have tailored clothes made while in Beijing, but don't go bragging too much about that RMB800 suit that you got made overnight for you, as the old saying "you get what you pay for" holds true. I would avoid these cheaper tailors, but if you insist, make sure you are clear about your design and try to bring pictures, as this will help guarantee you get exactly what you want.
Most of all, I want to wish all you shoppers a great time and lots of great buys during your time in Beijing.