I'm trying to figure this out as I just started to make one this weekend. We only shop at 3 places - Trader Joe's, our local HFS, and a couple things from Costco (bulk organic carrots, frozen organic veggies & blueberries). I'm not interested in going to a large variety of stores, and with dietary restrictions, I can't get some things at regular grocery stores, so I know I'm just dealing with prices between those three. But, what I want to figure out is what is cheaper at TJ's and what's cheaper at our HFS, and if the bulk frozen organic stuff at Costco is a better deal than smaller packages at one of the other two stores.
Right now, I'm using a spiral bound notebook, writing down all items that I would get at each store (if there's overlap between the stores, I'm checking the price and writing down the unit of price for each store), and writing prices per unit (box, pound, etc.). My goal is to then do like tryingforbaby above described - putting it all in Excel in alphabetical order, and having a column for each store. Then, I can make my shopping lists accordingly depending on where the price is best.
What I haven't figured out is how often you should take that list and recheck against current prices. Right now the prices seem to fluctuate so much - mostly up - that I have a feeling each month or so prices would need to be checked against the list. I don't know though. I've never actually paid this much attention to how much things cost before.