My thoughts:
> You could do a spin on the usual setup by having a "Black Market" in surface-world items (especially anything requiring a Good alignment; would that make it a "White Market"?)
Some enterprising neutral Human mage goes up to the surface, buys all sorts of items from the good guys, then teleports down to the market to sell the items to all those races who desperately want certain items (*cough*Sunblade*cough*) but can't make them for themselves. I mean, no one specializes in anti-Undead like the good guys, but those races currently resisting the White Kingdom need stuff NOW. Vials of Holy Water are a good example of this.
Some races might not like the idea of having holy items being sold in their market, so this is done quietly. Likewise, you might have him sell anti-Illithid items for other paranoid Underdark residents, but you don't want the Illithids themselves to know who has the items or where they got them from.
It'd need to be someone who could fit in well with the setting without actually being evil... that Shadow Mind psion PrC I linked would probably work, if you made him focus on Telepathy and Psychoportation. A bit crazy, somewhat mercenary, but powerful enough to survive this sort of setting.
Other possible encounters:
> Golem salesman. Picture him as a used-car salesman, trying to sell you a Flesh Golem. Maybe a bit too cheesy, but it could be fun, especially if he's competing with the slave traders for business. Sort of like Arwink's undead deal; unruly slaves are sold at a discount to the golem makers for raw materials.
> The exotic food market. If Illithid are members of this community, you HAVE to have a Brain section. Freshly-harvested brains from various exotic races, held in stasis/Quintessence to preserve quality. It wouldn't all have to be disgusting stuff, though; there'd be a demand for rare spices or ingredients, especially if you have a restaurant next door with a good chef who knows how to cook ANYTHING.
> The "movie theater". Remember how the Defenders have fans who'd pay to watch them from Dylrath's room? You could have a shop that uses a big crystal ball to watch surface-world battles (the Church of Aeos versus the Necromancer Kings would be popular). It's especially fun if you give them a "record" function, so that the ball can replay past battles, although there you're getting awfully close to the Sensatorium concept. Problem: it'd be a big source of information to be able to see exactly what happened at, say, Mrid without using divinations.
For "current" battles, betting pools on the outcome are optional.
> Architecture:
You could have fun with extradimensional spaces here. Presumably, many of these merchants are powerful spellcasters. They'd want the ability to seal/remove/relocate their shops if needed. So, some (not all) of the shops could be located somewhere else with just an entrance portal in the market, or maybe it's less obvious, like a storefront that leads to an impossibly large shop.
You could also tie into this by using a variant on the Daern's Fortress: shops that shrink down to a small cube when the owner closes up for the night. So, a shop might not be in the same place two days in a row, and there'd be some competition for the good spots.
> In fact, the entire market could be semi-nomadic. They pick a town, set up in a cavern nearby, and stay there until local conditions become unpleasant or until the waste piles up, at which point they pick a new home and migrate. The mundane residents (mostly nonmagical "weak" races like Kobolds who do the grunt work) have to travel the old-fashioned way, but the magical ones simply appear once the market has re-established.
The only constant is centerpiece of the market, a very distinctive statue that casters can scry to find the market's current location. Since any change in the statue itself would cause Teleports to go badly, damaging or defacing the statue is usually a capital offense. I keep thinking of the statue from the Hitchhiker's books, where Arthur had 50 arms, each of which was killing Agrajag's reincarnations in a different way. Something irreproducibly distinctive and intimidating. (Hmm, wonder if P'Keen could be brought back into the story?)
