Hmm.. I don't think there's much that's cheap in the cities you're going to! Ok, there will be deals to be found. If clothes/shoes are what you want, there are places like H&M and Zara (you'll also find some in the US now) that have good prices on stuff... dunno about little local spots, though. Anyway...
Paris - the stereotypical stuff: wine, baguettes, cheese - are dirt cheap and gooood. The hot chocolate is excellent. If you get a chance, find a good prix fixe 4-course lunch and go to town... Don't bother with this around Champs Elysées or the other major shopping areas. You'll get ripped off. Souvenirs.. Mmm.. I bought a small painting off a street artist, just to have something oh-so-typical. That and my mom thought it was cute.
Brussels - chocolate. You can be like Mini-Me on a chocolate binge. Add some delicious beer to the mix. Ok, maybe not together.
Amsterdam - the pancakes (not what you'd expect), waffles, kebabs, and Indonesian food are cheap and excellent. Souvenir-wise, you can get tulip bulbs that are approved for export (i.e. US customs goons won't kick your ass), reasonably-priced Heineken stuff at the brewery (got a sweet trackie for 22€).
My favorite souvenirs, though, are just random local shit. CDs, matchbooks, funky coasters from bars, books, magazines, etc.