The Coconut Custard bun is my all time favorite. When I was little, I called them coconut footballs. There is a white stripe of coconut on each end, which makes it look just like a football. I also love the egg tarts, sticky rice balls, sesame balls and coconut tarts.
Keefer court also makes amazing cakes with fresh fruit on them. Don't make the mistake of going there on Tuesdays because they are closed. I wish liquor stores were closed on Tuesdays and opened all weekend. Keefer Court knows what they are doing.
Oh one more thing, no credit cards. Cash or check only. They have an ATM machine in the building too.