Eierschecke (cake) is a specialty. Must have a fluffy, yellow filling, sometimes it is filled with cherries or so. The best in Dresden is from a bakery at Kronenstraße, but that's pretty far out in the residential areas ... so I'd recommend either Coselpalais (for fancy cakes, too) right at Neumarkt square behind the Frauenkirche, or Wippler at Körnerplatz square (by the Blue Wonder bridge), who has a cafe and shop near Pillnitz Palace, too.
Another excellent bakery (with cafe) is Scheinert, district Weißer Hirsch, at Bautzener Landstraße. Their chocolate cake is to die for.