Although it's definitely a tourist magnet, the Egyptian Spice Market in Istanbul houses some wonderful sweet shops. You can find many of the common favorites, but Turkish delight, known to the locals as lokum, is the most plentiful find.
There are a few major distinctions you need to concern yourself with when buying and eating Turkish delight. The first and biggest decision you have to make is between sugar and honey. Sugar can be composed of cane or fruit sugars, and it makes the cheaper of the two candies. Honey, on the other hand, is considered to be the good stuff. It packs in more flavor with way less of the cloying sweetness of its sugary counterpart.
The thickening agent can also determine quality. Although Turkey is a Muslim country, it's possible that cheap lokum is thickened with animal gelatin, either from a cow or pig. If you want to avoid the risk and be sure to eat the kind that is thickened with vegetable starches, find a reputable shop and ask them for lokum made with honey. With this in mind, you'll be on the right track to getting the good stuff.
The flavors available are too numerous to sample, so the best idea is to find a friendly shopkeeper and pick a few that sound interesting. It might be intimidating, but more times then not the shopkeepers will enjoy talking about their flavors and they'll even let you sample a few in order to convince you that theirs is better than the rest.
Click through the slideshow to see eight varieties of Turkish delight which I found at the Egyptian Spice Market and that are definitely worth seeking out.