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If you are into Paleo stuff (stuff that doesn't contain the same type of processed Sugar and/or processed fats), check out Sweet Pea Bakery in Raleigh. They have really awesome tasting treats.
It's not in your requested area, but Guglhupf in Durham has wonderful pastries. We also like to buy pastries from Annelore at the Western Wake Farmer's market on the weekends. Lots of good old world/German specialties. She also has a stand at the Raleigh farmer's market. There are plans to open a store (sign is already there) on Chatham Street in Cary, but nothing's happened yet. The sign has been up for a while, I really hope they follow through. Annelore will take special orders for whole cakes and pies.
I actually like pies at Whole Foods, they're made in store. Apart from already mentioned places, there are some good pastries and cakes at Grand Asia market in Cary (not sure if bakery is on premises). Their mango cake is awesome!
Neomonde has great breads. I understand their Method Rd store has more pastry type items than the one we use on Strickland Rd.
Great Mediterranean food too.
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