I keep reading about how farmer's markets are so much cheaper than grocery stores, but here in AZ it seems to be just the opposite, I find that farmer's markets are MORE expensive than the local chain stores (and I'm not talking organic at the FM, just conventionally raised produce).  And the meat and dairy prices are in the stratosphere!

What is it like in other states?

I would prefer to shop for locally grown produce because at the very least it "should" be fresher, and I do believe that a laborer is worthy of his wage, but I have to balance that with a finite amount of money that can be spent on food so I do have to shop by price.

Last time I checked organic ground beef was going for $10-12 a pound here!  Just can't afford that as much as I would like to.

I'm really curious what prices are like in other parts of the US, or even abroad if anyone cares to chime in.

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In L.A. the produce mart downtown is where all the local vendors get their daily supplies. Shop owners have been getting up at 2:00 or 3:00 in the morning every day to get down there, buy, and load up by 5:00 am so they can have the new produce on the shelf in time for the store to open.
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So the prices are cheaper downtown, but they're even LESS if you buy in quantity.
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There are small time farmer's markets in various neighborhoods in the suburbs but their prices are not the main attraction. It's the open air, outdoor scene that they hope will draw the crowds. But most people still go to supermarkets for groceries because the variety is greater, you can find everything on your list, and the prices are not worse than in the small shops.
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Beef for $9 - $13 per pound is the going rate here too. 
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Farmers Market

The Colorado County Farmers Market here in Texas
Is very small but the produce vendors somtimes give you extra, usually if you come near closing time. I used to sell  Baked goods there. :chef:

I'm in Kansas, and I have never known farmers markets to be cheaper than the average small town grocery store. The prices are comparable, so if I have the opportunity I will buy from the farmer.  Every once in awhile you'll find a real deal- a one time and gone type of thing. For example, an old farmer pulls up with a truck bed full of tomatoes and is selling them dirt cheap if you buy in bulk.

I just stalked up on end of season produce from the local Amish and got excellent deals. They were selling bushels of apples for $13, winter squash for .35/lb and bell peppers .33/piece. Also, bushels of sweet potatoes for $16, and regular potatoes for $15.

Around here, if you're willing to do the working of sniffing out local gardeners, that is where you'll find the best deals. Many of them aren't interested in selling at the market, and just don't want their hard work to go to waste. They'll often sell it very cheap just to get rid of it. With these folks we usually trade goods and everyone ends up feeling satisfied. 

Here in tx, I think the farmers markets go downtown early in the morning, pick up produce for cheap, and sell it at farmers markets peddling it as their produce grown on their farm.  Not all sellers do this, but I am convinced most do.

I find the prices at farmers markets much higher than grocery stores, but about the same as organic at whole foods.

What I have found cheapest are the Mexican grocery stores.  They don't have the variety of produce as the big chain stores, but what they have looks like it was locally grown and it'sCHEAP.  Last week I got bell peppers $0.20 each, zucchini $0.59 per lb, white onions $0.33 per lb, and papaya $0.50 per lb.

We raise all our meat, milk and eggs, so I don't have to buy those.  And I sell our extra to pay for the non gmo feed for our animals.

Organic, grass fed ground beef from the grocery store is $6/lb here, but they've put out a coupon a couple of times recently bringing it down to $4/lb.

It looks like this particular product comes from Colorado.
https://www.heb.com/product-detail/spring-crossing-organic-grass-fed-ground-beef-90-lean/2173840

My experience with farmer's markets are that they are inconvenient (not nearby or only held monthly) and more expensive. The only advantage I've found was fresher produce -- particularly tomatoes picked when ripe and not before. There is a new market in the area, though, that I plan to investigate this summer if they make it past more than 3 or 4 occurrences.