JMB is a sweet shop near the train station. I wouldn't advise walking there once you move into the lake region (due to distance and general traffic) so plan it for day with a driver. The sweets are available fresh and also boxed to take away. My preference isn't for sweets so I can't really advise on them other than the ones with pistachio were honeyed over and too sweet for me. I think I prefer my pistachio dessert in gelato or Turkish baclava.
However they are possibly even more known for kachori, particularly the pyaaz kind. I'm not sure what pyaaz is, but the kachori was sensational. Crispy hot pastry with a filling rich in crunchy cumin and coriander seeds and an unusual hint of tangy sweetness lingering at the end. Perhaps it is caramelised onion? I'm not sure but it's great.
If I'm ever back in Udaipur I'll swing through between arriving at the train station and getting an auto-tuktuk to the accommodation.