Mediterranean specialty store
Short of driving to Houston, for Italian imports, give Jimmy's a look. A trendy little market now, it's been around for decades, offering those specialized items long before WF, CM, etc came to town. http://www.jimmysfoodstore.com/histor...
For spices, try Penzeys - SW corner Preston@LBJ
All stores are in the same general area behind TI off 75 and Spring Valley. There are also some hidden gems making fresh breads in that area also, so you might want to google around to see what you come up with.
Fadia's Deli & Bakery on Campbell would probably be the most consistent that I have had for breads and baklava.
Judi Restaurant and Bakery – I go for the roasted eggplant salad and a falafel on samoon bread. I know it is more Iraqi but still delicious and they do sell their fresh breads.
Sara's Bakery in Richardson is probably the cheapest for breads
World Food Warehouse would be the cheapest for panty items and spices
I know not everyone has the luxury of time or money but I truthfully hold all my pantry items and spice run for Houston. Breads I pick up here in Dallas. I have said it many times over the past 8 years or so I have been posting but Phoenicia Specialty Food on Westheimer in the Westchase neighborhood of Houston is by far my favorite grocery store in the state. Think Walmart sized store devoted to Mediterranean products. They have the high quality Italian pastas, sauces and other ingredients needed for authentic Italian cooking without the high markups we have here in Dallas. Their spice selection alone is amazing and is where I get all of my bulk spices and they have everything you would need for any cuisine.