I have had some really good desserts lately, all under $5 and all of which you can pick up if you're walking by (i.e., not restaurant desserts):
Kazandibi from Sevan, Watertown - This is a Turkish milk pudding that's caramelized on the bottom -- like a creamier version of rice pudding.
Florentines from Darwin's - Perfect for satisfying that chocolate craving, with crunchy almonds and a hint of orange peel. Tip: get two.
Doughnut from Flour - Only on Sundays, but these are SO GOOD -- slightly crispy and sprinkled with sugar on the outside, and filled with an ethereal pastry cream.
Rainbow cookies from Mike's - I'm not a huge fan of their cannoli, but I might make a trip back soon for these cookies. They're the Italian cookies with layers of almond cake, separated with raspberry jam and coated with chocolate. Here they have five layers instead of the usual 3.
Pasteis de natas from O Cantinho - Perfect little egg custards in a flaky crust.
Burnt caramel ice cream from Toscanini's - I think everyone knows about this already, but it's always great.
After reading the thread about canneles below, I'm hoping to add those to the list -- I went to Burdick's today looking for them, but they said they wouldn't have them until later in the week.