It depends on the time of year, what you are buying, and where you are located. Being in Arizona, I would imagine it is too hot a dry for many "conventional" American foodstuffs to grow, so things grown locally are going to be more expensive than the items in the grocery store shipped in from California.
Where I am, during the summer, I can get things like corn, tomatoes, peppers, lettuce, zucchini, and the like for very cheap at a farmer's market. Once we get outside of the growing season, however, choices become slimmer and more expensive.