I was in Dubai in March/April 2008 and I agree with other posters' comments regarding the relative lack of bargains - except for one detail. I saw Sigma lenses for very very good prices all over the place. I paid £1000 for a 120-300mm f/2.8 which would at that time have been about £1700 in the UK. Even after I'd paid import duty and VAT at Heathrow it was only £1250 and still a bargain. It wsn't just that lens either - there were lts of Sigma lenses at low prices. I was tempted by the 800mm but couldn't have got it home.
No idea whether this is still the situation though. The shop I bought from (Grand Stores Dubai, in one of the big malls) doesn't seem to have its own website, and I can't find any Dubai price-comparison sites either.