This is by design, so that you have to work a bit to fulfill their want, but generally you can look at the little icon at the bottom left of the thought bubble narrow down what they want, a little human means they want to hang out with that particular friend, knife and fork means they want that food (which you might be able to buy from market if its in stock that day, or have to cook it yourself), and a little ball means that they want to play with that item (which you can buy from the mall). The shapes icon means they want to play in the game center.