During the spring/summer/fall, we shop at farm stands and farmers markets first.
Next we hit a locally owned grocery store that stocks lots of local goods and will get pretty much anything you want with a couple days notice (they send box trucks to the North Shore and Boston every other day for out-of-season produce and fresh seafood). They have a close relationship with a few boats, so if I want something particular like Monkfish heads, they'll get it super fresh. We also get 95% of our beer and wine there.
Then we hit Whole Foods for anything we can't easily get at our local market (such as specific imported chocolates, fresh roasted/ground PB, etc).
Finally we hit BJ's (a Wholesale Club) for non-perishable goods such as Toilet Paper, Tin Foil, Printer Ink, etc.
I visit a local package store every couple months to replace any "hard" alcohol that we might use up (such as Baileys, Patron, or Absolut).
Nick ~ "Egg whites are good for a lot of things; lemon meringue pie, angel food cake, and clogging up radiators." - MacGyver