Jodee, enjoy! I think Calais gets a poor press, there are some nice restaurants - we go to Ancienne Histoire on the Rue Royale, which does the most delicious grills. It is pretty central, friendly, popular with locals and moderately priced.
Almost everything shuts on Sunday and quite a lot of stuff is closed Mondays too.
There are other shops in the Rue Royale and its continuation into the other part of central Calais. It is one main drag so not hard to see what's on offer. There is a super cheese shop at the top end of Rue Royale, some nice chocolatiers, and a rather grim Monoprix at the bottom end. Like any French town, small stationers, fashion shops for adults and children, astonishing number of hairdressers. Personally, I would not say that any one shop in Calais itself was a "don't miss".
Regarding Cite d'Europe, it's a necessary evil I guess. Get there reasonably early (before lunchtime)and you should be able to park, it is a 10 minute drive from the ferry/hoverports and practically on top of the exit from the tunnel.
It has a lot of good clothes shops, especially for children and babies, an excellent big pharmacie/parfumerie, a Tescos (which we have never ventured into because it is always horribly crowded) selling wine, and Oddbins, where the staff are friendly and the prices still very competitive.
Best of all but also crowded is the Carrefour supermarket. If you want to buy food rather than lots of drink, it is not too bad, but the drink section is always hateful. There are deli counters selling fantastic fresh fish and seafood (take a coolbag), the fruit and veg is very good by French supermarket standards, and in the grocery sections it has the best range of organic foods I have ever seen in a French shop.
Top cheaper buys in France are olive oil, coffee, chocolate, pistachio nuts, mustard, seasonal veg & fruit (peppers, courgettes, melons and apricots right now), cheese, tinned fish like sardines, branded mineral water, etc etc. Quite a lot of the supermarket cheaper wine is pretty bad, but Carrefour's own label appellation controlee stuff (especially whites such as Muscadet sur Lie and Alsace varieties) is nice and excellent value. Fortant de France do good quality table wines and Carrefour sell some.
The restaurants at Cite d'Europe are all horrible! And there are no Bluewater-type toilet facilities.
We do the run 4-5 times a year and always enjoy it, but find it tiring. Definitely a wise move to leave ds at home. We bring ours back something from the children's boutique Du Pareil au Meme. Oh, and Carrefour sells Petit Bateau and Absorba children's undies for about 50% less than you pay for these good brands in the UK. So we get him pants too.
Have a great day! The last time we went, actually, we did an overnighter with ds and stayed in St Omer, just inland from Calais. That does have the most fantastic local veg market on Saturday mornings.