Shop at... whatever place carries things the people who know would like, that can provide you with the best selection or deals.
I've picked up a couple things from Macy's already, but I wouldn't recommend it necessarily. It can be very expensive! I work there, so I can employee discount my way into some decent finds, but that's specific to me. (Although I will say, if you need clothes or purses and the person doesn't need the 'latest fashion', hit up the Last Act section- some crazy cheap stuff in that deep clearance area. Limited return window though, so maybe put that off til mid-December last minute pickups.)
Google is gonna be your friend here- sometimes you might have to go someplace out of your usual range to find something a person will like. Start early, & do your research... learn about the item, about the company, and about the return policy (just in case.) If you're buying online, leave some time for shipping issues- any really important gifts you should order with double the shipping time left... in case it comes damaged and you have to wait for a replacement. I try to be done no later than the first week of December. Bonus for that- less time spent fighting the holiday crowds!
If you are alone for the holidays, consider joining up with a toy drive/giving tree. It might help you feel more connected, if only becuase it'll help show you're not alone in being alone (*mumbles something about messages in bottles*) If you can choose your gift recipient, go for older teens & the elderly. They're less likely to get picked than fun-to-shop-for little kids. Plus, if you're hanging out here you're likely a bit more tech-savvy and in a better spot to buy a teen something they'd actually like.