I grow some of my own vegetables, but also prefer the Farmer's Market when I don't have vegetables that are ready to harvest. Of course in the winter around here I have no other option then to buy stuff from the super market, but otherwise I walk to the market. It is fresh and local farmers often have things that you can't find in the store (like different kinds of tomatoes and peppers.)
I prefer the Farmers Market over my local grocery stores. I know that the produce is fresh, I always get great deals and I get to try new things that aren't even in my grocery store. The only time I buy produce at my grocery store is if I have a ton of coupons that covers the cost of them or if I am in a hurry.
Don't forget; farmers don't typically dye their fruits and veggies either. Or feel the need to coat them in wax or fill them with this that and the other thing. It disgusts me what grocery stores do to their food to make them look and taste more appealing. I grew up eating fruits and veggies right off the tree or off the vine etc, I know what they are supposed to taste and look like and grocery store foods aren't even close to natural. It's sad.
Living in the SF Bay Area really can spoil people with the wide variety of choices. The Farmers' markets there are amazing and often a time for the family to go out and have fun actually. I love how I can get free samples of everything and it just tastes so yummy. The produce you get at the farmers markets are also organic and much cheaper and so much more fresher than what you can get at supermarkets. I definitely prefer getting fruits and fresh vegetables from the farmers markets.
The farmer's market culture must be very different in the state because it is quite elitist and expensive over here in England. I live near a farmer's market but the produce is far too expensive when compared to the supermarket.