Next to KK's Waterfront and the Filipino Market, by the main avenue, you will find the Handicraft Market, a colorful place where you can get a souvenir.
The goods on sale come from Borneo and Malaysia's neighboring countries, mainly Indonesia and the Philippines. Even if you are not into buying a souvenir I recommend a walk along its stands.
Another place to hunt for gifts is at the KK's Sunday Market, in Gaya street. The market is open every Sunday in the morning.