There is an active paleo group here in St. Louis, I've been going to some of their events -

http://www.meetup.com/Primal-Living-STL/

They actually are having a potluck later today. Also once a month the leader does a grocery store tour, I went on it and learned a ton. Highly recommended.

http://www.meetup.com/Primal-Living-STL/events/79013912/

We do our shopping a lot of different places - TJ's, Schnuck's, Jay's International, Soulard Farmer's Market - we also stop at Local Harvest at least once a month on account of how it's within walking distance of my house, but they're a lot more expensive than Trader Joe's. Honestly, for a one-stop grocery store trip, we've always found Trader Joe's to be the most affordable - I think they're quite a bit cheaper than any other grocery store in the area except Aldi's and Shop N Save. We spend between $150-$200/wk to feed two adults and a large dog, but I try to keep things closer to the $150 side.

I'm in the Hazelwood area, and trying to feed a family of 5 on a pretty limited budget, so Trader Joe's is not only inconvenient for my bi-weekly trips, it's just too costly withthe exception of a few items. We don't do much grass-fed, since it's so pricey. We get most fruits and veggies and local raw honey at Soulard and local farms, with the occasional supplement from the regular grocery store. I shop the sales at Schnucks and Shop N Save, stock up on meats when I can. Sam's is good for things in bulk like crushed tomatoes and olive oil, eggs, etc. Amazon.com has been great for coconut oil and almond flour, which I buy pretty regularly. Since Sappington Farmer's Market closed,I find some pretty great stuff at Global Foods in Kirkwood. It's worth the trip to get all kinds of great ethnic fruits and veggies. I usually stock up on big bags of raw almonds and cashews and flaked coconut- it's the cheapest I've found and I can do all manner of things with them.

It's not so much the store as learning how to cook low-cost paleo. The county library has several good paleo cookbooks. (I like the flexible recipes described at the back of It Starts With Food; the county library has 6 copies.)

In the meat category, grass-fed is typically expensive. You can get decent meat at Schnucks and Dierbergs. I avoid Shop n Save due to too much water in the meat. And TJs always seems too pricey for me. If I'm going to blow money on meat, I'm going to Whole Foods.

For stretching your dollars, learn how to cook stews. You'll have to decide which tubers you allow yourself to eat; I like potatoes, yams, and sweet potatoes. I tend to buy organic tubers due to fears of pesticides and because I can afford a pricier tuber. If you are a fan of the PHD like I am, then organic white rice is a good way to stretch your food dollar.

As for other stores, I agree with what has been said about Soulard and Global Foods (if you can afford to burn the gas).

I live in the CWE but I do a fair amount of grocery shopping at Costco - if you have the space to store your purchases it's the biggest bang for your buck. Chicken thighs at $.99 a pound, 42 oz. of gaucamole for $.97, frozen organic broccoli is my biggest splurge, 12 packages for around $60.00, they also have almond butter and coconut water cheaper than grocery stores. For day to day grocery shopping I prefer Dierbergs, but usually only pick up a few things, less than $50.00 typically. As others have said if you're going to splurge on grassfed beef, just go to whole foods. Also I've done a fair amount of research at local stores and whole foods is actually quite competitive when it comes to nuts, seeds, trail mix - check the bulk foods aisle out.

This could just be bias but I don't bother with Trader Joe's, a lot of their food is surprisingly processed, and the fresh stuff is rather outlandishly priced, I'm constantly surprised that it's so full. I'd much rather splurge at whole foods. Happy hunting!

St. Louis, MO is my hometown! However, I relocated to the NOVA/DC area for employment. I'm in the area a couple times a year though!

For shopping, I would recommend Dierbergs, Whole Foods, and TJ's.

If you could make it down to Maplewood once a month in the winter/weekly in the summer, you could by produce and meat at the Schlafly Farmer's Market. I love the Ozark Mushrooms! As far as regular groceries are concerned, Schnucks seems to have a decent selection of grassfed/pastured meats and organic produce. Their grassfed ground beef is local and not too expensive.