Ambala aren't that great. If you want REAL, fresh, and not cloying Indian sweets, go to Ealing Road in Wembley. Try Prasad Sweets or Saya. Or, there's a great place on Kingsbury High Road called Gayatri which has improved vastly over the last 10 years or so.
In Indian sweet marts, it's all about turnover, not just the finished product, but of the raw ingredients. The places I've mentioned always have fresh stuff and they sell out quickly.
As for what to get, try some Phool Khaja and kaju katri. Prasad does wonderful Jalebi's as well!
Ambala are a franchised chain of Indian sweet shops although they also serve savoury snacks. The sweets are very highly rated but are extremely sweet even by sweet standards. The savoury snacks are utterly ordinary
For the sweets, try Pistachio Burfi, Gulab Jumans or the yellow Chumchums, which my favourite. There is also the milky Ras Malai, served in a separate container, and the fairground like orange Jalebis. Hell, try a selection-they are ideal with tea.