You'll see churros all over in Mexico City. It's like Mexico's doughnut. But some of my favorites are the Churros Rellenos (Filled Churros) in Coyoacán. Definitely my favorite street food desert (aside from ice cream). If you're going to visit the Frida Kahlo Museum, it's a short walk to Jardin Plaza Hidalgo which joins with Jardin Centenario to make up the main square in the neighborhood of Coyoacán.
You'll find plenty of restaurants, shops and street vendors. But what you want to find is the Churros. Delicious tubes of deep fried dough is filled with your choice of fillings. They have everything from chocolate or cheese to strawberry of mango. I love the chocolate or cajeta, which is like a rich burnt goats milk. It's sweet and gooey like caramel.