The Bazaar is a massive shop. It is located at 30 meters depth but can only be reached by using the scroll of transport, or very rarely by dimension traveling to grey. The walls are magically sealed against all forms of tunneling and phasing, so it cannot be reached "on foot".
The Bazaar traders will not purchase your unused goods. Money can only be spent here, not gained. You will have to sell your unused goods to (or kill) a merchant elsewhere to gain money to spend at the Bazaar (save more time by reading the scroll of transport near a merchant without robbing him).
On the player's first visit, about 120 items are generated of each type: weapons, armor, rings, scrolls, potions, wands, food, and miscellaneous. As such, nearly all of the unique items are very likely to appear, if they haven't yet been created. You may wish to purchase unidentified items if scrolls of enchantment/knowledge or wands of wishing have not yet been identified. Stealing from the Bazaar is possible by killing all the traders, which are much stronger than the usual traders found elsewhere. If you're comfortable taking down a draugr without taking much damage, you can probably handle a murder spree at the Bazaar. If you successfully killed all traders there, all merchandise (and the level itself) is yours, with no reason to bother carrying money around anymore. Attempting to teleport out by magical means with an unpaid bill, will either fail or kill the player outright.
Robbing the Bazaar
One way to successfully rob the Bazaar makes use of a scroll of pure evil's levelporting effect. The player, having eaten a dead ice dragon beforehand, secured another levelporting method that works regardless of blindness, and collected all items he needs, should save and read the scroll(reload and read again if it doesn't levelport). Once in Niflheim, if you're not strong enough to proceed with the challenges ahead, you must levelport using the method you secured earlier.
An easier method is to use the orb of imprisoning on yourself.
The best and fastest method is to Terraform under one of the merchants for lava. This will kill the merchant and allow you to leave via Dimension travel along with any and all items stolen from the Bazaar.