There are shops in Bansko, it depends what you want ? As you enter Bansko there is a big supermarket on your left. That is very reasonably priced. There is also a Sunday morning market in the old town. Plus other shops, lots for ski gear, but everything really.
Grab a bus or taxi to Blagovegrad at the bottom of the mountains (45mins). This is a large town/small city with a large American University so has a large population of well to do international students so has many more shops. Regular busses from the bus station on the way out of town on the sofia road. You could get a taxi back from Blagovegrad with all your shopping. You should easily be able to negotiate a good fixed fare in Blagovegrad for about €20-€30.
If i have time ... My priority is skiing not shopping, i was just asking if i should take something more with me in order to find some good pieces of clothes.