If you are after a mid-morning/afternoon snack, A Blikle is recommended in guidebooks and online. Warsaw seems to have quite a lot of decent looking bakeries and patisseries along the main road extending from Plac Zamkowy all the way down until Ul. Nowy Swiat. A Blikle seemed to be one with reputation.
I only tried a cheesecake slice with strawberry. It was satisfying with the cheesecake being very smooth but only a mild flavour and the strawberry jelly layer adding much more sweetness.
Most people seemed to be buying this item I'm unfamiliar with called paczek z lukrem, which seems to be a frosted donut topped with candied fruit. I didn't have the stomach space to try one, but it's on my list for next time.