I haven't tried them, but Cravings in White Bear had a fantastic looking tray of home-made looking cookies on the counter the other day saying you could pre-order them for, I think, $28.00. They looked delicious and almost like you could pass them off as home-made. Cravings has a couple locations around the Twin Cities, though, I haven't been to any of the others.
1600 County Road E, E White Bear Lake, MN
I started to write a recommendation for Jerabek's (especially the cinnamon stars and lebkuchen) and then remembered this article from Dara M-G, pointing you towards what she considered 4 of the best bakeries for fancy holiday cookies: http://articles.citypages.com/2005-05-18/restaurants/don-t-try-this-at-home/, and this chowhound discussion about MSP cookies: http://www.chowhound.com/topics/399562
Looking for cute or good tasting?
Although you may be trying to avoid a grocery, I wholeheartedly stand behind Byerly's or Lunds bakeries. Their cookies list all their ingredients on the label.. easy to find things w.out hydrogenation, and are tasty 100% of the time. They also try & cater to ethnic specialties (like old-school mn favs).
Small bake shops may be more 'special' or fun looking, but I don't enjoy shortening much myself.