Anna Maria Island offers some nice places to shop, but don't expect huge malls with all major department stores - but this type of mall wouldn't even fit here. Every of the three cities has a unique and different small shopping area.
Bradenton Beach, the most southern of the three cities, has on the one hand many small shops, most of them beach and tourism oriented, along Gulf Drive. On the other hand there is the hstoric Bridge Street area, where many art and craft shops are located.
Holmes Beach has a small mall at Marina Drive / Gulf Drive in midst of their tiny city center. The spectrum reaches from an ice parlor over boutiques and a flower shop to a hardware store as well as a small grocery shop.
Anna Maria has its relatively new Bayview Plaza located at the northern tip of the island with shops and offices and as well a small shopping area east off Gulf Drive (shortly after you enter city limits). This little mall in particular has an ice parlor you shouldn't miss at all.
If you have have need for a bigger grocery shopping then the first choice is the PUBLIX market at the crossing Manatee Ave and East Bay Drive. You can't miss it: when coming from Bradenton over the Manatee Bridge it's at the first big crossing on the island.
Should you have need for a more intense shopping with supermarkets, department stores and fashion boutiques, you just have to leave the island and you got it all in Bradenton.
Another hot spot is St. Armand's Circle located just south of Longboat Key, whoich is the next island south of Anna Maria Island. You have to cross entire Longboat and after about 15 minutes you reach St. Armand's Circle with elegant boutiques and nice restaurants. Don't miss Tommy Bahama's restaurant there!