We usually just end up in the old town or whatever it's called there in central Stockholm, where all the shops are. Once we stumbled by "back" entrance to the castle, and got there in time to see a line forming on either side. We hung out for a while, and got a pic of the King riding by in a coach and he waved right at my husband. It took all of 5 minutes and was a nice little diversion. The big hilight for me was seeing the Swedish warmbloods there at the castle (breed of horse).
As I recall, there's a headphone store somewhere up that really long walking street (can't, for the life of me, remember its name. It's long, brickpaved...and i dont think cars are allowed). By 'up', I think I mean towards the New Town