For those of you who don't know, you don't have to actually step foot in a grocery store in order to buy food. Most people know about the farmer's markets in their area being an option, but there are other places too.
Co-ops: Co-ops are similar to grocery stores. In fact their very closely related to Costco and Sams Club. You pay a fee and you are a member of a natural food store. It's not like a conventional grocery store because they sell fresh foods from the area as well as stock other eco-friendly items from other areas. For example, our co-op (which I haven't been to) stocks glad rags and Lollidoos.
Farms: Some farms have a front store where they sell their meat, dairy, eggs, and produce straight from being harvested or slaughtered. This cuts out the middle man and you know exactly what the farmer does because you can see if for yourself. You'll know if they are organic or free range.
My favorite are CSAs: CSA or Community Supported Agriculture work like shares in a company on a local level. You pay a fee for so many shares and you receive your share of fruits, veggies, dairy, and meat from particular farmers. Many farmers drop off your share at a particular place so that you don't have to travel out far to a farm. You also receive what is in season so my suggestion is to cook and freeze for out-of-season time. Also typically CSAs have a window in which to buy shares. You usually buy the shares per season. In my area, we have a few different CSAs; some do dairy and others don't. I missed the window otherwise I would have enjoyed participating since I can't have my own vegetable garden. I should also mention that there are some CSAs that will deliver to your door.
To find out options beyond your local grocery store in your area check out www.localharvest.org
They can also tell you what restaurants in your area use local ingredients. Happy shopping!