Depends what you want.
If you want better dining and nightlife options then Downtown by far would be much to your liking. From the clubs on Chippewa, to the bohemian neighborhood and home to Buffalo indie music scene, Allentown just to the North, with higher end bars and restaurant scattered in between, then you have a ton of options without having to worry about driving after the game. There are also some museums and the free observation deck of the second tallest city hall in the US are not to be missed either if you need something to fill your time between bouts of shopping.
The Boulevard Mall is 30 minute or less from downtown taking the through-way during normal hours, and about 40-50 minutes during rush hour.
If you are just focusing on shopping then you probably want to stay in Amherst. Check out the hotels near UB North: Hotel Indigo, Marriot, Red Roof Inn, Motel 6, among others. All a 5 minute drive to the Mall. If you want to save money on parking, you can park for free at the Park and Ride lot at UB South (10minute drive from the Boulevard Mall), and take the MetroRail downtown. Its $4 for a two way ticket.
Don't listen to Thundarr. He hasn't left his suburban stronghold since the 60s. Downtown is heavily patrolled by police and is very safe. The worse you see is the occasional drunken brawl after games.
If you decide to stay downtown and want some boutique shopping, there are some great independently owned stores in Allentown, just to the north of Downtown, and all scattered about along Elmwood Ave in the Elmwood Village (North of Allentown).