If you're fortunate enough to live near a farmer's market, consider going there first to get your produce and meats. Then go to the grocery store to fill in what you couldn't find there.
Not only are you going to be helping the local economy, you'll be getting more nutritious food that tastes better and is usually better for the environment.
Do a little research on the farm and especially support the ones that practice bio-dynamic farming. It only takes 5 minutes and can have a big impact on the earth.