Ah, the good ol' UAE. I spent the better half of two years there (in the military) and had a blast. However, this was before all of the terrorists attacks and such. I used to go downtown to the pharmacies (which are on about every corner) and get what I needed. The supply was off the chain! All you had to do was give the pharmacist the name of the gear you wanted, and after a phone call a runner was there with it after a few minutes. It was VERY legit gear but very expensive. As long as you're not dealing it, shipping it back to the U.S, or being just plain dumb with you'll be just fine.
P.S. While you're there, check out the Scottish Lounge, Hurricanes, Pancho Villas, Billy Blue's and Cactus Cantina. Awesome places to drink and eat. Ah, the good ol' ride down Al-Maktoum highway in the 80's caprice classics.