market
The main market is a great place to purchace some Burmese goods. Wandering around it is easy to see the ethnic diversity in Mae Sot. Its is also a fantastic place to buy great fresh often alive food.
gem stone
There are many gem stone and jewelery shops offering good bargains. Most of the trade is for wholesale however. As with anywhere in Thailand, although many sellers are reputable, be wary that if you look European, low quality stones might be sold for high prices. Do some research before you buy.
ethnic handicrafts
For locally made ethnic handicrafts Fair Trade / Social Enterprise goods try WEAVE or Borderline shops pretty much opposite each other on Inthrakiree Road heading into town from the west. Borderline also has a local artists gallery and a coffee shop with snacks and free wifi out the back.
treking/tour
There are a couple of treking/tour companies operating out of Mae Sot, with jungle trips, elephant rides if you have to and white water rafting. SP Kitchen on Asia Highway is one option, Bai Fern in the center on Inthrakiree Road is another. Some routes are seasonal and cannot be accessed during the height of the rainy season May - October.