I realise that not everyone can do, or would want to do what I do, but I mostly keep away from major supermarkets. I buy tea at the Co-op, and will sometimes buy the odd pack of frozen veg or similar.
I have enough time to plan my shopping, and a car to get around in my rural area. I thought I might spend more on food than most, but find that it's a similar amount to average, albeit rather differently. I like cooking from scratch and make good use of my freezer.
We have a good local fruit & veg shop, which also stocks local milk & eggs, and some good markets.
We have a good butcher and I get game for free this time of year. I make a charity donation as I am willing to pay, but actually take the birds that shooters don't want (more fool them)
Cheese, butter, yoghourt are from a local farmer (who also sells other farm-made cheese)
One every 4-6 weeks I drive to a wholefood co-operative about 15 miles away and treat myself to lunch or coffee, as well as stocking up on most stuff.
Of course, occasionally I end up in a supermarket - usually in a family emergency or on holiday. It's an interesting comparison - some stuff very cheap and other stuff very expensive (to me)