The most popular ones and the ones that are consistent at most bakeries are:
Volcanes or Pan de Huevo, they are the dome shaped buns with a sugar design on top, good with coffee if they are warm from the oven, if not nuke them on defrost for about 10-15 seconds.
Empanadas, you probably know them, turnovers usually they have a variety of fillings, pumpkin, sweet potatoe and pineapple are the most common.
Marranitos, "little pigs", gingerbread cookies basically baked in the shape of, you guessed it, little pigs.
Ojarascas or Pan de Polvo, my favorite, sometimes called Mexican Wedding Cookies, shaped like the suits of cards, stars, hearts etc. they are crumbly cookies made from 1part flour, one part shortning, sugar and cinnimon tea. Great with Mexican hot chocolate.
Bolillos, rolls, like French rolls, a little tough you almost have to toast them a little, what tortas are made from, try them filled with cream cheese, avocado, tomatoe, onion, mayo, salt and pepper, and if you like them bean sprouts.
Orejas, "ears", flakey pastries that look like they should be on the side of Princess Leahs head, sugary dry layered flakes of dough.
There are a veriety of muffins with or without raisins, and sugar cookies all with different names depending what shape they are and if they have sprinkles.
My mind just went blank thinking about my avocado sandwich. If I think of anything else I'll add on.
After the holidays when things settle down, if you have a free Saturday I would enjoy showing you around and take you to some of the more out of the way places, if you want just email me.