Here are two interesting shops I found this summer. The best part is that they are both an easy walk from the main train station (Termini).
The first place is a cosmetics/perfume store. Its approximate location is marked with a red X on the map below. It has a good range of Proraso products: the green and white soaps, jars of pre/post (small and large), and the tubes of shaving cream. Even better, it has Italian Floid aftershave, and all of the above were priced very low. I think I paid 1 Euro each for the soaps, and the big bottle of Floid was around 10.
The second point of interest (at the blue X) is a very upscale knives/specialty store, for lack of a better term. It's fantastic for window shopping, as you'll find everything from TOBS creams to Dovo strops to Maestro Livi razors. Unfortunately, the markup on their inventory is staggering. Everything costs literally 3-5 times the usual price.
In the picture below, that's the front of Termini in the bottom right.
(larger image here)