A: Grand Parade Route (from Brighton station) 

After you've exited Brighton Station, walk to your right right towards the Nightingale Theatre and the Grand Central pub, then stop, turn round though 180 degrees, and decend into the tunnel-mouth of Trafalgar Street, popping into the Information Point in the Toy Museum's lobby to pick up nice free maps and directions.

Then continue downhill to the green patch at the bottom of Trafalgar Street, which you'll find is occupied by St. Peter's Church. Turn right and follow the wide sequence of open spaces and fountains (Grand Parade) downhill towards the seafront. 

About halfway along Grand Parade, you have two main choices,

(1) Keep going (past a brilliant view of the Pavilion). Grand Parade opens out into a region called Old Steine, with Sea Life and the Pier directly ahead, the Wheel just to your left, and the Volks Electric Railway's little beachfront station down by the foot of the wheel. 

or,

(2) Nip into the Northern entrance of Pavilion Park to eat your sandwiches, consider having a look at the main museum, the Pavilion, and the Information Centre and gift shop behind the park, and then either double back or continue past the Information Centre, along a short road called Pavilion Buildings, which takes you onto North Street. Head left (downhill) along North Street, and you'll quickly end up rejoining the earlier route, at Old Steine. At this point, you should be able to see the Wheel.

B: Shoppers' Route (from Brighton Station)

As before, after you've exited Brighton Station, walk to your right right towards the Nightingale Theatre and the Grand Central pub, then stop, turn round though 180 degrees, and decend into the tunnel-mouth of Trafalgar Street, popping into the Information Point in the Toy Museum's lobby to pick up nice free maps and directions.

Then continue downhill until you see Sidney Street on your right. Head in that approximate direction through the maze of little shops until you hit Church Street. Head west along Church Street past the Brighton Dome and the Corn Exchange, and nip into the Pavilion Park.

Brighton Museum  has its entrance just inside the entrance (it's built onto the back of the Church Street complex), and as you cut across the park towards the other large stone entrance gate, you'll exit on Pavilion Buildings, which has the main Visitor Centre and Shop. Cross North Street, and on the other side of the road you should find a signposted alleyway entrance to that takes you into the maze of passageways that make up The Lanes.

If you exit the western side of The Lanes, you should be able to find your way to the Clock Tower junction, and from there, you can either head straight up Queens Road back to the station, or you can do some standard shopping at the Churchill Square shopping centre, and on Western Road. This area has all the normal high street chain stores, Churchill Square also has a large Apple Store inside, and a Lego Store in its front. if you're looking for a Post Office or Bureau de Change, there's one built into the lower level of WH Smith, which has one entrance at the front of the centre, and another inside. The Centre used to also have a "Habitat" store, but that's now gone.