Regina shopping for fine food
I used to live in Regina and for cheese there is the Bulk Cheese Warehouse on Quance (behind Costco). I always liked Butcher Boy Meats on Park, north of Victoria (their Bison BBQ sausage is awesome!). The Italian Star Deli (on Victoria just off Broad) also had some great Italian and European ingredients. You might also want to check out the Indian market on Victoria, just east of Arcola.
THose are the ones I can think of off the top of my head.
Italian Star Deli
1611 Victoria Ave, Regina, SK S4P, CA
The other place that comes to mind is the Cathedral district (13th Ave W of Albert). I think there's a Bernard Callebaut Chocolates there.
If you're looking for good eats, you should try La Bodega -- tapas style food and a great wine list. When I used to live there it was the favourite of the Corner Gas crew, and you'd often find cast and crew there.
You may want to try Nature's Best Market, on 14th. They carry a small but good quality selection of chocolate like green & blacks and Denman Island chocolate. I find them a good place for ingredient staples like interesting rices& locally grown pulses (have you tried black beluga lentils? they're really cute). I do find their store hours inconvenient though, as they close at 6pm most days and are closed on Sundays. You could go at lunch time and hit Tangerine, next door for a bite.
The Indian store (which has more than just Indian food) is called Tony's. It is just west of Arcola, not east).
PS in terms of bigger grocery stores, Sobey's on Hillsdale has a good selection of gourmet items. They didn't have sherry cooking vinegar, though. I tried everywhere but the only place that had that was the Safeways at Southland.