During a game (at least during DnD), there always comes a time when characters need to re-supply, sell stuff, and buy or upgrade their items. I've seen a couple of different variations of how to do this now, either doing it in-game with haggling/stealing, or just out and out selling/buying at book prices.
What are the different variants for shopping, and what are the pros and cons?
It depends no how much detail you want, really. Some examples:
I want to meticulously roleplay all this item-buying: If you're this into the potential for shopping, I don't think I really need to tell you what kinds of things you could be doing.
I want the players to think carefully about their purchases, but I don't want to spend too much time on this: Just use the by-the-book sale prices. Let the players sit around with the equipment list and choose gear, probably mostly out of character. Maybe roll haggle or availability for the biggest-ticket items if you really care about it. Expect this approach to take significant game time, although you can shift it outside of play if you just let PCs buy anything from the book with fixed pricing and availability.
I want equipment to matter a bit, but I don't like shopping or planning: Realistically speaking, any game requires some amount of not sweating the small stuff. It's possible to not sweat the big stuff, either. One great technique here is to let players retroactively have gear that it would have made sense to buy — so, if you get to a dungeon and you need a 10-foot-pole, just roll your Wealth or make a Wisdom check or spend a point of your abstract resources score or whatever. This basically takes the acquisition of equipment and spreads it around the game, allowing you to move quicker because players don't have to guess what they're going to need in the future.
As an example, in my campaigns, we often write "traveling gear" to represent all the bits and bobs of a traveling adventurer's kit (this is just the standard way to do it Burning Wheel). When you pull out a utility knife, we might amend the description on your character sheet to include the knife explicitly, so that it's consistent that you have it next time something comes up. But you don't have to pre-plan exactly what mix of basic tools you'll need for later. We develop characters' clothing styles and other details in a similar way.
I don't want equipment to matter at all: Remove equipment mechanically. It's mostly just narrative fluff now. If you want to represent a Climb check as using a grappling hook, that's up to you. In old D&D, all the weapons did the same damage, and it worked just fine. :)
In this variant, players wander around the town, look for shops that sell what they want to buy and they ask you if they can find what they need. Character will most likely split up and be asking a lot about what's available.
Pros:
Great occasion to plug roleplay and events. A kid just cut one of the PC's purse while 10 others run around him. Do you have taxes to pay? Why? Explanation could provide information about population satisfaction and may lead to a quest. Also you can manage the price, negotiating the price and also what is available and why. Great control over what the players can buy.
Cons:
Party split up can be a problem. This variant takes more time.
In this variant, the players check into the book, buy what they need at the said price. They tell you want they got and you can approve or reject their shopping list.
Pros:
Really quick so you can go back to the action real quick.
Cons:
Players are limited to the list inside the books. It also assumes a single price, the one inside the book.
In this variant, game time is dedicated to roleplay and combat. Buying stuff is done between game sessions leaving the game sessions for the "real deal". You review the buying either by email or in person but outside the game sessions. In this variant, ammo and components are assumed to be available at all time or you can keep track of the spent ammo and simply pay the cost outgame.
Pros:
Gives players all the time they want to shop. The actual game time is spent for activities related to the story or the progression of the game.
Cons:
Cuts all interaction between shopping and the game itself.
Here's the solution I used.
First, I had basically the usual list of "ordinary" equipment. Rope, boots, saddles, yada yada. I trimmed out "exotic" stuff and weird armor and weapons that no one really uses, and customized it to the area the players would be doing most of their adventuring in. The players could pretty much get any of these items when in cities and could do shopping offline. In towns and villages they might need to roleplay a bit of haggling with the blacksmith for weapons or armor.
Second, I essentially ditched all the standard magic items. All true magic items would be unique things I made up myself, with intriguing combinations of powers, side effects, and quirks. I figured any wizard able to craft magic items wasn't going to bother mass producing +1 swords; he'd spend his time making the legendary blade Eldersbane, giving a +2 to hit and damage but +5 vs. vampires and liches, which siphons 2hp of your own energy each time you draw it and lures nearby undead towards you while held. So, these weren't items you just went down and bought at McMagic; these were items you quested for or that you discover in some dank tomb pried from the skeletal fingers of some ancient king.
Then I added a third category of equipment. This wasn't magic, but was beyond the norm. High quality Blumoncan steel swords which were +1 damage (+0 to hit) of limited supply. Various herbal potions that healed, cured poisons, or instilled various potion-like benefits but had side effects. Useful stuff. Some was commonly available at standard prices like with ordinary equipment, but the more powerful items were variably expensive and with unpredictable availability; these made it a great way to siphon off excess cash. This class of items could well be the source of adventures as the players quest around to locate the sources or procure raw materials themselves. One player even took advantage of the variation in sales prices to do a bit of import/export trading himself.
I've generally gone with each player coming up with a 'wish-list' of things they'd like or otherwise sound cool to them; and then I can use that as a reference when populating dungeons and shops. (Not to say that they always find exactly what they want, but that I then know what they'd like, and there can be a good mix of "This is cool and something I wanted" and "This is cool, and I don't know how I'm going to use it yet!")
Beyond that, I tend to take item selection as a function of how the world is described. If the players are looking for a bustling port town, when they find it they'll probably have port-related items in shops. And there could definitely be strange magical items that make sense for a fisherman or sailor, that wouldn't otherwise be around.
As far as spending it as a roleplaying scene vs. just 'pick out what you want in between sessions', that's also very player-driven in my experience. If they want to haggle, then more interesting things will happen because of the opportunity it provides. If they just want to fade-to-black and get onto whatever they're doing next, then that works too.
In other words, everything is a function of 'what provides the most interesting opportunities for players and myself?'.
Alex has nailed it, IMO, but there is one other thing you need to consider; magic items. Some players consider that (assuming you're in a large city), you should be able to buy any item in the book; others think that magic items are intrinsically special, and being able to buy a +2 sword devalues the +1 sword they found in the dragon's hoard. Most people fall somewhere in the middle ( a couple of systems allow you to commission a non-magical +2 sword but not a magic one). I don't suppose it makes much difference which you do, but make sure your players know your decision ahead of time; it's surprising how much ill-feeling can be caused.
