Our first “market” of choice here is the Farmer’s Market, which sells a wide variety of produce, meat, eggs, and finished products like spaghetti sauces and breads, in season. The rules for our particular market make local production of the merchandise mandatory – so I can be confident that I’m supporting my community and state. YMMV.
The next tier is our local food co-op. Unlike other ones people have mentioned here, our local co-op is open to the public. If you buy a share in the co-op (one-time charge of $65, currently), you get a 5% discount for as long as you own your share. The co-op concentrates on local products, but they also sell some products from further away.
The next place we like to frequent, when applicable, is a little independently-owned market that also stocks local items when they can. This market, unlike the co-op, is for-profit – but supporting local biz is a Good Thing, too.
Our local Big Box grocery that we get the non-local stuff at is also headquartered in our state, so we don’t feel too bad about shopping there (Meijer).
Last tier, where we go when necessary, is Whole Foods. There are some things you can only get there, so we go, but I prefer to spend on local foods, not “Local Food Feelgood Theater.”