If you are looking for a great price on cheerios, head to HEB. But if you need to pick up some wonderful chocolate for a hostess gift, a bottle of wine to go with dinner, a showstopping dessert or a bag of tortillas- hit up central market. This gourmet grocery store in central Austin is also a wonderful way to stay off I35 during rush hour. Prices are high on somethings, but probably lower on others (things that normal grocery stores wouldn't sell enough of like marscapone cheese). The beer and wine prices are actaully very reasonable and they sell a wide assortment and run specials. Particuarly nice are the single bottles of beer and ale and prices on brands like Dos Equis.
The produce at Central Market is beautiful with a price to match the quality. Samples are abundant-- in the produce section, in the meat market, in the bulk food aisles, etcetc.
Not your everyday shopping experience, but all the foods are delicious, fresh and interesting. The attached cafe makes the best tortilla chips on the planet.