Meat/seafood -- Keep portion sizes moderate, buy the leanest form of the product that fits your menu or recipe, and buy only the amount you need. If you're making a batch of chili, you probably don't need a whole pound of ground meat, especially if you use lots of beans which will add fiber as well as another source of protein for your meal. The same principle applies to poultry, seafood, etc.
Cheese/dairy -- These items provide calcium, protein, potassium and often vitamin D. But some forms also have lots of saturated fat. Lowfat dairy is the way to go. Children over age 2 and adults get all the calcium and other nutrients of milk from skim or lowfat milk without all the fat of 2% or whole milk. When buying yogurt, opt for plain yogurt so you can add your own fruit and just enough sugar/sweetener to suit your taste.
Produce -- Your best nutritional buy depends on what's in season. This time of year, expand your peas/beans/carrots routine buy purchasing seasonal items. For example, fresh winter squash and cranberries are abundant and reasonably priced in the fall and winter while fresh asparagus has been shipped in from faraway places at that time of year, raising the cost and decreasing the quality. In the spring and summer, squash and cranberries which are abundant in the fall would probably be better buys in their frozen or canned forms.
There's a great resource on saving money while buying fruits and vegetables at the "Fruits and Veggies: More Matters" website, endorsed by the public health community. See this PDF file.
Nutritionally speaking, organic items do not have more nutrients, but you might prefer to buy them to minimize your exposure to pesticides or for other environmental concerns or personal/philosophical reasons.
Bakery -- Read the label. Look for lower sugar and higher fiber choices, like whole-grain bread. "Wheat" doesn't mean whole grain, so look for the word ?whole? in the first items of the ingredient list.
Deli -- Buy prepared foods that are made up without a lot of added fat and sugar. For example, pasta with tomato sauce will generally be more nutrient rich than pasta with creamy Alfredo sauce. This is the section of the store where the trade-off between convenience and price is most apparent, so cook these dishes yourself when you have the time and ability. When you opt for the convenience of deli and other pre-prepared items, keep expenses down by buying only the amount you will actually use in the next day or two.
General groceries -- Be a good comparison shopper. Use the information on shelf tags to compare unit prices for various brands. And check the Nutrient Facts and Ingredients lists to make sure you're getting the best nutritional value when choosing between two or more brands. A handy, interactive guide to reading food labels is available online at this Mayo Clinic page