The two times I've gone Stateside I've always made sure I partook of the local confections. The three yum yums I remember the most are: Oh Henry! like a cross between a Milky Way and a Snickers; Almond M & M's, need I say more, blissful and last but not least, Hostess Twinkies, which are more of a cake than a sweet but I do love them so!
US readers like Richard will be able to get these goodies down the corner shop but the rest of must try importers. In the UK we have, for example, instore in LIDL and ALDI and online you could try the Stateside Candy Co. Oh Henry!