I recommend Akomer, located on Arenales between Agüero and Austria. They have a huge selection of regional items and are relatively inexpensive. They have about 20 different kinds of empanadas, all homemade and very tasty. I recommend the "Pastel de lomo con calabaza o pure de papas". You can also get other traditional foods such as locro, ñoquis, choclo en chala, tamales, etc...
I have not yet tried everything, but everything I have tried has been riquísima!