El Palacio Nacional (which I think is in the same place or right next to the Museum of Anthropology) has some great Diego Rivera friezes that depict the Aztec and Maya history of cacao, unfortunately the best one is in the corner upstairs. Not a great viewing spot.
Mayordomo shops around town, the closest one 2 km away,
http://maps.google.com/maps?f=d&source=s_d&saddr=Norte+3860,+Centro,+72000+Puebla,+Mexico+ (Chocolate+Mayordomo+de+Oaxaca)&daddr=Plaza+de+la+Constituci%C3%B3n+1,+06060+Mexico+City,+Mexico+(Palacio+Nacional)&geocode=FZhYKAEdrM8W-iFTFEI1emVTfw%3BFYprKAEd1owW-iEbSuaAdLTwCg&hl=en&mra=pd&mrcr=0&sll=19.402654,-99.176466&sspn=0.103462,0.115185&ie=UTF8&t=h&z=15
have a good selection of moles and coarse ground chocolate bars. This is the standard Oaxacan drinking chocolate.