There are more than a few good local bakeries out there, but my favorite is Charlie's Donuts on 53rd and Peoria. Open 24 hours a day, which is a real novelty here in Tulsa. Donuts are of course great, but give the various kinds of fritters a try. And the baked cinnamon rolls!
People ask when Krispy Kreme is coming to Tulsa, but I say who cares! However, I will be willing to check them out next time I'm in OKC, for research purposes.
I remember Jane and Michael Stern did not like KK at all.