Shopping Sessions have a bad rap in my opinion. While some people love them, other people hate them. I can get behind the idea that some people don't like shopping - or watching other people shop - that's fair. However, I dislike the complaint that nothing happens in a shopping session.
See, there's two parts to this. One, is that it's not just on the GM for things to happen. Two, is that you need slower sessions on occasion to help break the tension. Let's unpack that, but in reverse order.
The Need For A Slower Session
While tension escalation is often described as a peak with a smooth ascension to the point of climax and then a de-escalation, in actual fact it should be more of an upward trend with jags going up and down along the way.
The simple fact of the matter is that prolonged escalation without break is not good. Not only is it exhausting, but it can be damaging. I've had intro adventures for entire campaigns become nothing more than one shots because the tension escalation was too constant so by the time the PCs hit a tension break point they were just done with everything. More succinctly, the players even felt done with that story.
Why? Because the story, the immediate story of the events - escaping a zombie strewn city in this case - was constantly escalating tension and so they never had a chance to develop more depth to the characters. Friendships didn't get formed. Side plots didn't come up. Nuance didn't happen. All because the need for constant escalation of the main theme kept pushing things back.
However, once you interject some quiet moments not only do you get a chance for the characters - and players - to rest, but you also make room for other stories to come into place, and with them other sources of tension and drama. Physical tension, social tension, mental tension, can all be on their own paths. But it is hard to feel Social Tension when Physical or Mental tension is always winding ever tighter.
So you need breaks. You need moments where the tension falls off. Everyone resets Things happen. Stuff develops. And then you're on to the next climb on whatever track it appears on. All the while, all the tracks build higher and higher overall to the climactic point of the arc/story.
Players Can Also Make Things Happen
Which brings me to the next point - which is actually the first point: players are also responsible for stuff happening. The best stories are about proactive protagonists, and this holds true for RPGs as well as stories. Proactive PCs make things happen. Yes, the GM is responsible for running the game and making the story happen, but PCs are able to kick off things too.
If nothing is happening in a shopping session, yes the GM should take time to engage other players and try to keep things fun. At the same time, those players can also start their own things. Nothing stops you from RPing with a friend, sparring an ally, or going off to get yourself in trouble.
Make a friend, start dating, break up, continue your own personal story in a way that shows it happening to other characters and players.
Shopping sessions are able to have a lot happen in them. Yes, the shopping also has to happen, but odds are if your GM drops into character for a shopping scene they are trying to make that scene fun and interesting. Engage and help them out, or talk to the GM aobut how you'd rather shopping be "all business" to make room for other things.
If you're unsure on where to start as a player consider this: shopping trips and shopping sessions are almost always in preparation for the next adventure. So what else does your character do to prepare? How do they get in the mindset to be heading out and face death or whatever they're going out for? Bring it up in game. Show people what happens.
Don't sit there bored. Make something happen. And if you're not able to, talk to your GM. No one wants a boring game.