Shinjuku station is absolutely massive, and can provide hours of entertainment, if you are a shopper that is.
One place that I got repeatedly dragged to by my girlfriend when I was a student here in Tokyo is the underground shopping avenue that runs from the Marunouchi line area to the ground level. This walkway is lined with fashion shops, so it's extremely popular with young girls looking for jewelry, socks, bags, etc.
If you want to do a bit of shopping without leaving the station (maybe while you are on your way deeper into Tokyo?), this is the place to go to basically get a good overview of the fashion stores you can find in Shinjuku.