I shop at several stores.
Costco -- At least every other week, usually one big trip and one smaller trip. We get gas at Costco every week. It is sort of on the way home for me, but less then 10 minutes from our house, so it is very convenient. We buy soymilk, eggs, butter, organic salad greens and other fruit and veggies, trash bags, shop towels, sometimes meat, but not much any more (see later in the post).
Asian grocery store -- I drive by this store every day on my way to and from work. I buy tofu there as it is by far the least expensive place anywhere around here to buy tofu -- only about $1 per pound. I also buy soy sauce, sesame oil, rice wine vinegar, and sometimes seasonings. One of my uncles does not eat any wheat, and the Asian grocery store is the easiest place to buy tapioca starch and potato starch which can be combined to make a flour replacer. I stop here every 6 weeks or so.
Sacks -- This is a local 'dented can' type store. I will only buy canned or bottled goods at this store as I bought flour there once and brought it home to find it full of bugs. I buy broth, canned beans, canned pumpkin, salad dressing, etc. Frequently I can find organic items there. Regardless, I pay a fraction of the price I would pay in the regular grocery store. I drive by this store every day on my way to and from work and probably stop every other month.
Meat -- I recently stopped at a place called Great Western Meat. It is basically a huge butcher/distributor. I have only been there once so far, but the prices are fantastic. I was able to get ground turkey for $1/pound and boneless, skinless chicken breast for $1.49/pound. The meat was also the best quality I have seen anywhere else.The downside is that you have to buy a lot at one time -- 10 pounds of the ground turkey and 40 pounds of the chicken breast. As I am a vegetarian, anything I get there is only for DH, so that is a lot of meat! In addition, it is totally out of my way to go there. My plan, however, is to go every 4 months or so. I think the savings is entirely worth the extra effort -- the next cheapest place to buy the chicken breast is Costco and it is $1.00/pound more. We have a 14 cubic foot upright freezer, so I have space to store it. I am actually defrosting my freezer this weekend, and am planning to make a trip there next Friday to pick up our Thanksgiving turkey, some more of the chicken breast, and maybe a few other things -- I have to ask DH.
Bread Outlet -- next door to the meat place is a Bread factory. Bread is actually baked here and while the store does sell seconds (ie, past expiration date), it does also sell firsts. I have not been making a special trip here because it is entirely out of my way and I didn't think it was worth the time and effort to get there. However, I will be stopping every time I go to the meat place. The exact same brand and type of bread that I buy at the local grocery store for $2.25, I can get at Walmart for $1.50 or at this outlet for $0.75. This place is cash only.
Walmart -- I have a super Walmart within 15 minutes of my house, but I rarely go there. The store is always so busy and the shelves always seem like they need to be stocked. When I do go, I always think I should make the effort to go more often since the prices really are fantastic. However, I can usually match the prices between all the different places I shop.
Publix -- the local grocery store, which I drive by on my way home from work. This is the place where we pick up all the random stuff we happen to run out of during the week. We usually stop by there about once a week and mostly buy produce, deli meat, bread, and Gatorade. DH drinks a LOT of Gatorade and it goes on sale at Publix about every 3 weeks at 3 for $5.00 for the 64 oz size. I also buy spaghetti sauce there when it goes on sale. We like the Classico sauce and it goes on buy one get one free about every 4 to 6 months. This works out to $1.25/jar and is better price than anywhere else around. When I see this sale, I buy at least 10 jars.
Health food store -- I have 4 different choices. One is just down the street from where I work, so I usually go on my lunch break if I need something. About the only thing I get regularly is soy margarine. DH can not eat milk products, so I buy this for him. I buy a bunch at once and freeze it, so we don't have to go there often. There is actually a small store in the same building I work in, but they mostly sell fake meat products. I buy a couple cases once a year of a variety of products, and mostly use them for social type situations. I don't like to eat them often.
I never do what I would call a 'traditional' grocery shopping like my mother did when I was a kid. I don't go to the store on a regular day, spend a couple of hours and a lot of money at once. I tend to shop for the pantry, except for produce, of course. I mostly buy produce at Costco on a biweekly basis.