Cabo is a great place for finding souvenirs. Just walking around the city, you will see many shops where you can pick up a variety trinkets, t-shirts, gifts, bottles of tequila, and a whole slew of other souvenirs.
In Cabo San Lucas, you will find many souvenir shops off of the main street through town, Hildago Blvd. There are a few directly across from the Puerto Paradisio Mall, and even some inside of the mall as well.
Another great area to pick up souvenirs is in the flea market. The flea market is located within the marina, on the far end where the cruise ships let out. There are also a few other large souvenir stores in this area.