Look for shops called NATURKOMPANIET they have loads of good stuff and is own by Fjällräven so they have most of their stuff too. Go to the market at Hötorget and you will find a woman that sells Sami handicraft. In the Old Town you will also find lots of shops with handicraft but they are pretty expensive.
If you are interested in military history I can recommend the Army Museum wich is a really good and I think it´s free nowadays.
Naturkompaniet
Hantverkarg. 38-40, 112 21 STOCKHOLM 08-651 35 00
Odeng. 50, 113 51 STOCKHOLM 08-673 11 60
Sveav. 62, 111 34 STOCKHOLM 08-24 30 02
Kungsg. 26, 111 35 STOCKHOLM 08-24 19 96
Kungsg. 4 A, 111 43 STOCKHOLM