Just got back myself mate,
Noticed a few things:
1. Not really that much cheaper, even though they're tax free I didn't really notice any AMAZING deals to make me draw for the wallet.
2. Buy a UV filter.
3. Haggle !
4. My recommendations for photography shopping:
a) Deira City Centre Mall (D.C.C) - one of the main electronics malls in Dubai.
b) Emirates Mall or Mall of Emirates - the biggest mall in Dubai for the time being.
c) Duty Free (at the Airport)
d) Bur Dubai - old dubai. A lot of photography shops here. Make sure you haggle, many of the shop keepers will bargain down 90% the original price. Remember to convert back to sterling (7.2:1) to see if you're making a saving.
Take a hat and some sunglasses

, its REALLY hot out there.
enjoy!
PM me if you need anything else,
gw