Nothing can beat Chelsea Market. It is practical entertainment--a fun place to go for the afternoon and you get your grocery shopping done. While one reviewer commented on the prices of the shops I would say that some shops are pricey while others are a better deal than anywhere else in town.
Breakdown of prices:
Garden shop: Not worth it, too pricey unless looking for some serious plants that you won't find a good price for anywhere, but for modest house plants, go somewhere else. (However, cut flowers are reasonably priced)
Fat Witch Brownies: When it comes to brownies, money is no object
Eleni's baked goods: After 6 and weekends everything is half priced, even the gift tins. Can't beat it.
Fish Market: I am of the school of thought that fish is not something to mess around with based on cost concerns. You are not going to find better fish than this place. Unfortunately the NY TImes excluded them from their undercover Wild Salmon sting operation so we will never know for sure, but based on taste and texture, I am happy to pay the extra few bucks a pound. Also, the sushi bar frequently offers for sale their yellow miso paste for $4, and for a hard to score item, it is also one of the better tasting Misos I have found.
Veggie Market: This produce is good and it is not more expensive than the grocery store and is definitely cheaper than Whole Foods.
Thai market: Way cheaper than grocery store
Italian Market: For specialty goods, yeah it's expensive but for run of the mill Italian ingredients, generally better prices than the grocery store because what we consider to be Italian specialty goods, the Italian's call food, and thus price accordingly. Worth it just to be able to find tomato paste in a tube. Why does tomato paste come in 8 oz jars in this country? No recipe ever calls for more than a few tablespoons. Trust me and go just to buy the tube, you will thank me.