The Bazaar is a massive shop. It is located at 30 meters depth but can only be reached by using the scroll of transport, or very rarely by dimension traveling to grey. The walls are magically sealed against all forms of tunneling and phasing, so it cannot be reached "on foot".
On the first visit, about 120 items are generated of each type: weapon, armor, ring, scroll, potion, wand, misc, food. As such, nearly all of the once-per-game items are very likely to appear, if they have not yet been created. You may wish to purchase unidentified items if scrolls of enchantment/knowledge or wands of wishing have not yet been identified.
The Bazaar traders will not purchase your unused goods. Money can only be spent here, not gained. You will have to sell your unused goods at a merchant elsewhere to gain money to spend at the Bazaar.
Stealing from the Bazaar is possible by killing all the traders, which are much stronger than single-shop traders found elsewhere. If you're comfortable taking down a draugr without taking much damage, you can probably handle a murder spree at the Bazaar. Attempting to teleport out by magical means, with an unpaid bill, will either fail or kill the player outright. If you succeed at killing all the traders, the entire inventory is yours, and there is no further reason to bother carrying money around.
One way to successfully steal from the Bazaar requires the following:
- a scroll of pure evil
- the power to travel dimensions
- the ability to withstand Niflheim for at least one turn
- incredible amounts of luck (real-life luck, not the Luck stat)
One of the effects of the scroll of pure evil is to transport you to Niflheim. While Niflheim itself may kill you, travelling from the Bazaar will not. Once in Niflheim, use the dimension travel power to get the hell out of there.
An easier method is to use the orb of imprisoning on yourself.