A  jambiya is a curved dagger that is carried around by most local men. It is usually for display only and not normally used as a weapon or even a tool. Intricately carved, splendidly designed varieties are available at major souvenir stalls spread around the locals Souqs. Or you could head to Azal City, an exclusive souvenir shop close to the Dawud Mosque in old Sana'a. Azal City also offers local postcards, jewelry, ceramics, and homemade handicrafts at quite modest prices.
Jambiyas come with a sheath and an attached belt to tie to the waist. You can get them either with your jambiya, or separately from any other stall around town. 

More Shopping in Sanaa
Al-Jundool Supermarket
Bab al-Sabah Street Market