Keystone at the Crossing makes it easy, because several of the mall's stores offer free classes. In the next month, for example, Pottery Barn will offer classes on window treatments, holiday decorating and holiday entertaining. Likewise, Williams-Sonoma offers seasonal cooking classes and technique demonstrations (and always has lots of yummy samples to try).
You can also combine shopping and learning at many local boutiques. At Artisan Masterpiece in Carmel, browse the cool artists' shop before heading upstairs for an art class. At Boca Loca Beads, use one of the fun beadwork classes to actually make a fabulous gift for a friend (and one for yourself, t00). At Frasier's Gourmet Foods in Fishers, pick up yummy foodie gifts, then take a class with one of the city's best chefs. (I recommend the upcoming "Candies and Pastries for the Holiday Season" with Joseph Allford.)
Finally, don't forget that many adult continuing education venues have fantastic gift shops. I'm thinking in particular of the Indianapolis Art Center, which always stocks its gift shop with unique finds (many produced by local artists). You'll also find great gift shops at Conner Prairie, the Indiana State Museum, the Indianapolis Museum of Art and the Children's Museum.
What if you prefer to shop online? Download an audio course from The Teaching Company and listen while you browse. Just think: While you're searching for the best deal on this year's hot Elmo toy, you can also be learning about the history of linguistics. Now that's convenient shopping.