Confeitaria Colombo
A belle-époque pastry house from 1894. Stained glass, Belgian mirrors, the kind of room Villa-Lobos actually drank coffee in. It's as much a tourist experience as a bakery now, but an honest one, not a fabricated trap; the Forte de Copacabana outpost adds the view. Breakfast, lunch and afternoon tea only.
Go in eyes-open that you're paying for the room as much as the pastry. It's worth it once.
Order: A pastel de nata with the coffee