In Merida don't miss:
- ice cream at La Reyna de Montejo, made on site. They are located on Paseo Montejo, one of the main avenues.
- mercado de comida Santa Lucia (or Santa Ana), close to downtown, there you will find the authentic Yucatencan Food: panuchos, salbutes, relleno negro, papadzules, tacos de cochinita, some seafood dishes, etc.
- Some bakeries will have buns stuffed with cream cheese or other goodies.
Also, here is a link of the Tourism board of Mexico