The flan at Rio Mar is, without question, the best flan I've ever had in my life, and I'm a flan fanatic. I also like the bread pudding at Bon Ton (but am old-fashioned enough to wish the whiskey sauce were stronger, not weaker!).
I love the bread pudding at Commander's Palace. It is my absolute favorite. For dessert, try Angelo Brocato's, Sucre, or Creole Creamery. I will say that a lot of restaurants have wonderful dessert menus but you could use these suggestions as an afternoon treat.