We did the Panama Canal on the Island Princess in March of this year. When we docked in Colon there is a large market area set up right there. It is recommended that you not leave this area for safety reasons. The selection at this market is very good and we were allowed to take our purchases back to the ship with us. There are customs agents who will go through all of your bags before you board the ship and then whatever security your ship has to check your bags will be done again when you are boarding. At least that is the way it was for us.
There are some great things to buy there - Molas, really nice pictures painted on feathers and framed, some leather goods, tote bags etc. If you are interested in puzzle boxes and you are also stopping in Costa Rica I recommend you wait and buy them there - the selection is huge and the price alot cheaper.
Hope this helps.