A quick poke at style...

She glanced over her shoulder and saw her three bodyguards trying to blend in with the merchants filling the large square. Raising one thick eyebrow, she tried to keep the smile off her full lips. They looked so very awkward out of their uniforms but she insisted on making her visits to the market as incognito as possible.

I would start this with a more active word - you know, like "glancing".

I would also get rid of "incognito" as it is used. It's a little off to the ear.

The most important thing I would change in this is the bit with the eyebrow. See, she is amused by them so you should amuse your reader with the way you put it. I am not suggesting it is bad, poor form or anything of a negative nature - it works. I just think it could be said with a bit more amusement - hey...the word amuse comes to mind. Also, "cocking" her eyebrow would be good. Little words like that to give the reader the little smile that she was displaying at her guard's discomfort.

Know wut I mean?