I live in Budapest, but unfortunately I can't offer you a "sightseeing tour", because with my wife we are waiting for our new baby (coming in the next few days).
But I can offer you one good shop:
The website is in Hungarian, but still you can use the map.:http://www.gemklub.hu/gondolkodo.html
They have 2 shops; one in the Pest side and one in the Buda side. Both are small, but good, full with nice toys / puzzles (mostly IQ, cast, wooden, Rubik, jigsaw... toys).
Have a safe trip, and of course if you need help, you can contact me (if needed I can give you my cell phone number in PM).