Our hotel there, the La Posada, is right at the bridge that carries both foot and vehicle traffic. If you're near there, you can pick up a bottle of hooch at the duty free store. They walk it to the bridge, hand it to you as you head for the gate, then you pay the toll to walk across, the toll to walk back, and the TX sin tax, grand total of less than $3.00. Big time savings over the same at any other liquor store, and it kills some time if that's part of your goal. Or just walk across, shop around the various liquor stores in Nuevo Laredo, and you can find more variety than in the state-side duty free stores. Just be careful while on the other side. Kidnappings and shootings are rampant, but they aren't targeting gringos generally. We just get in the way sometimes.
If you have kids (especially girls), or a petite wife, the clothing stores in the area can't be beat, either. I'm a bit too monogamous for boys town and would much rather bring home something that the wife can wear over something she can contract. But to each his/her own!