In my case, it depends what I need at the time. If I need the basic staples like milk, bread, and pasta (I'm vegetarian for medical reasons, so I can and do still use milk/eggs/cheese), it doesn't make a lot of a difference whether I go to a place like Whole Foods, Kroger, or Wal-Mart, unless one of the supermarkets happens to have a big sale on something I need.
When it comes to my vegetables, I'd probably opt for a good farmer's market because the prices and quality tend to be better, but having only recently relocated, I don't know where the good ones are, so I'm stuck with whomever has what I want on sale, or I'll make a trip to the Asian supermarket about half an hour away.
The more complicated things are any prepared meals or meat substitutes I do use. Kroger is the only supermarket around who reliable carries the brand of crumbles I use, Publix has the veggie burgers I like the best, but the best prices on some other things tends to be Whole Foods or Trader Joe's, or sometimes the Asian supermarket.
It sounds complicated, I know, but I'm not going to spend a lot of money for things, or buy meat substitutes I don't like.