These are easy to find in almost any city. Living in the midwest, one of the first things I do when I move to a new city is check out where the farmer's market meets. In Madison, WI it's easy because the farmer's market is in the middle of the city. Fresh produce is available here at inexpensive prices and since it comes from smaller farms the animal products are almost guaranteed free range.
Here's my strategy for shopping there: either go really early or really late. The pro of going early is that you get to pick the best and freshest of the produce. The con is that the prices are steeper and haggling is more difficult. Not to mention that you have to wake up at 5 am. If you go late, farmers are very persuadable haggle-wise because they just want to pack up and drive home. (I presume to sleep since they must get up at 2, 3 am to start the drive down.)
To find a co-op near you, listen to word of mouth and do some research online. I find being a member has quite a few benefits if you plan to shop there often, not the least of which includes lower prices.
These aren't everywhere in the US, but if you live on the coasts or the central midwest you may be in luck. Not only do they feature many ethnic foods, but it's also quite inexpensive. Another bonus is that you don't have to join some store club or coupon hunt, it's the lowest price they'll make it. One of my favorite features is the three dollar bottles of wine, known as 3 buck Chuck.
I hope you find this article helpful!