We have found that the best mattresses are either at Sam's or Walmart. Whichever is cheaper or has the quality you want may change from day to day.
Telebodega is also good for appliances. They have a huge selection, however you'll find that they don't actually ever have in stock most of what is on display.
And their return policy is difficult, at best. If you can buy appliances from Walmart, you'll have a much better chance of return if there's a problem. We have also had less problems with appliances bought at Walmart versus Telebodega (washers, dryers, refrigerators, etc.), but they tend to be a little more expensive.
Vidrio de Soplado across the highway makes beautiful hand blown glasses at good prices. The restaurant supply store on 30th Avenue across from San Francisco also has a large supply of general kitchen items you may need.
Soriana has lots of cute kitchen items. Sign up for their card & earn points. The money you save can really add up.
We bought all of our furniture for the house and hotel at Tapices Rustico del Sol, which is now located on Juarez near 40th Ave or so. They have good quality rustic Mexican furniture for reasonable prices. It's quite easy to have them make special items, as well.