I go to the farmers' market for produce, right now most things come in my CSA shipment.
Harris Teeter and Whole Foods for other produce and meat, based on sales.
Whole Foods for spices and dried herbs.
Food lion for frozen and packaged goods because it is walking distance from my apartment and considerably cheaper than Harris Teeter.
The Food lion in my neighborhood is also very good for Central/South American ingredients since the population within walking distance is about 50% Latino. For Asian ingredients, there is a large Asian market about 30 minutes away. It isn't on the way to/from anywhere else for me, so I make special trips a few times a year.
Local country market (produce & baked goods) weekly
Superstore weekly (I don't bother with a butcher except for special occasions, their meat is very good)
Farmer's market as often as possible in season - but it's only open Saturday morning & is a full morning's outing, and we like to camp on the weekend, so that's not nearly as often as I would like
Cosco a couple times a year
Walmart. Ok, that is where this Chowhound goes when she is not feeling particularly responsible and being lazy.
In an ideal world, that I am working toward, I go to the farmer's market for produce and to Ingles or Bi Lo for everything else. (Smaller chains with around 200 stores each.) My goal is to finally find the butcher, the bakery, and to explore a couple of local dairies to see if they sell to the public. I haven't been to the latino or oriental markets yet. Food Lion is last, because it is most convenient. (The chain has around 1200 stores.) I plan to avoid Wally-world at all costs in the future.
In the CA central valley:
Richland market (a "standard" grocery store, small local chain, maybe 2 or three stores?). Next door to where I work, so it's used around midday or after work for that last ingredient I need before taking off.
Winco (I like to call it the "generic costco" lol), where I get most of my seasonings (are you kidding? they have every seasoning BY THE POUND?!?! *faint with joy*)
Cash and Carry (a small restaurant supply place.... with good prices on chicken, and a few other things I can buy in huge quantities and actually go through.... like the monster can of hershey's lol!)
Save mart (used for the late-night "OMG gotta make that dish I just found a recipe for!")
I'll sometimes hit costco if my MIL is going
The last two are farm stands of long standing in the Boston area (although they're both much larger than typical "farm stands"). Roche Bros. and Market Basket are both local chain supermarkets.
I also shop Stop & Shop or Shaw's if I need something and am passing them. (ETA: I no longer buy meat at Stop & Shop, however, having had a Thanksgiving ruined because of a spoiled turkey.) BJ's Wholesale Club on occasion, but it's not a regular shop.
Whenever Wegman's opens up in Westwood, I'll visit on rare occasion (if I'm visiting with my sister on the South Shore), but don't expect it to be a regular occurrence. And after hearing from friends who went to Central Market in the Plano, TX area, I'd kill for one of them to open in the Boston area. :-)
In Metro Detroit:
Hillers (local chain with store within walking distance of home)
Meijer (cheapest chain, commodity-type shopping)
Trader Joes (one near home, one near work!)
Farmers market/farm stand in season
Once every couple of weeks:
Busch's (local chain with store near work)
Westborn (local produce/"gourmet" store)
Once a month-ish:
Once every couple of months:
Middle Eastern market
2x a year
local farmers market
Grand Asia or Vietnamese market near my home
Earps (local fish market)
Every so often:
When I can work it in to a road trip:
Amazing Savings (WNC)
Your Dekalb Farmers Market
I tried a CSA, but the pickup spots just weren't convenient for me. I'm open to trying again in the future if that situation changes.