We have it better than some since were in the largest "metro" in the middle of nowhere. But we still don't have a Trader Joes or a Costco. What seems to work is splitting where we get some things, the food coop is the place to get certain things like specialty flours but we buy other organic items at the grocery chain. We do have a Sam's Club and that can be a big saving grace for some things we use lots of like organic coffee and lettuce.
What we found helped reduce costs on some of those natural or organic items was to buy the components and make them. A bag of Bear Naked Granola is between $6-$8 and they are not very big bags. We buy the components, oats, honey, almonds, peanuts, pecans, brown sugar, canola oil and make it in large batches. Having a garden and buying local produce when it is in season also helps keep prices down.

We do try to stop at Trader Joes about once or twice a year when we are in the city. We stock up on a few things that have long shelf lives. Their natural peanut butter, their boxed granola etc.