Growing up in an immigrant family meant living on a shoestring, even when we didn't need to. It also meant needing ingredients that you simply aren't going to find at the local supermarket. So, ethnic markets were part of the routine for us -- frugal Mom knew she could save tremendously at them, and still make elaborate meals with their bounty. Granted, you may have to deal with a bit of grit: these are generally not national chains, so the decor might be pretty un-spiffy, and the staffing may be slimmer. But steel yourself -- it's an adventure that surely beats the local Mega-Lo-Mart, and an exploratory attitude can really pay off. The produce is substantially cheaper than supermarkets across the board, and you can find deals on gourmet ingredients and, of course, ethnic specialties, if you know where to look.
You'll find that whatever foods are used a lot by a given group are sold in much larger quantities than at supermarkets, and for cheaper. You also might find ethnic crossover, as suits the community: Here in Los Angeles, I've often found Arab shops carrying kosher goods, every kind of shop carrying Mexican goods, etc. Then again, this city is the proud home of the pastrami quesadilla. Here are some tips on what to buy at which markets:
Israeli: Israel is known for its dairy products, so you'll find a wide selection of yogurts, puddings (chocolate pudding cups that I absolutely loved as a kid), cheeses (especially feta), and packaged 'salads': eggplant in various recipes, hummus (sometimes with olive oil and pine nuts ... mmm). Coffee and instant coffee: Elite coffee is ubiquitous in Israeli kitchens, and if you like a mild, almost sweet cup (the antithesis of burnt-tasting Starbucks), this'll do it for you. If you're focusing on cheap, avoid meats -- they are usually kosher, so you'll have to pay a premium.
Iranian: Cheap good produce. Fresh herbs -- large bunches of cilantro at a local Iranian store cost 29 cents. Whole Foods, care to defend yourself? Dried herbs -- huge bags for a couple dollars. Tea: usually a wide variety of black teas, loose and in teabags. Sadaf special blend is a favorite; Ahmad is a pretty fine British tea company, and I've found 1.7 ounce sample packs of their loose teas for 49 cents! Basmati rice. Saffron. Great flatbreads. Exotic-tasting sweets flavored with rosewater and cardamom.
Indian: Spices! You can find large bags of spices, sometimes freshly ground on premises, for far cheaper than the supermarket. Try garam masala -- a heady spice blend that will perk up your cooking routine. Fresh ginger. Chili peppers. Basmati rice. Bollywood movies -- try Dil Se for epic love and tragedy (and the most amazing dance scene ever filmed on the roof of a train running through snow-capped mountains), Mohabbetein for British Knights-era fashions (the shoes, taht is, not the actual knights), or Jadu for the weirdest character computer animation has ever created. My local Indian market has a small selection of hot foods, too -- can't beat samosas for a buck!
Mexican: Carne asada: pre-marinaded, so incredibly good. Variety of chili powders and dried and fresh chilis. Radishes -- with the leaves and ends already cut off! Plantains: fry the superripe ones (skin is black) in some butter -- good lord.
Japanese: Great fish and seafood. You can often buy small packages of diced sushi-grade seafood for just a few dollars. Sometimes they even come with a small package of wasabi -- sashimi for the masses! Good beef -- my local Japanese market (which is actually part of a small national chain) has small packages of pre-sliced Angus beef for 3-5 dollars. Bizarre junk food in bizarre packaging (and by bizarre, I mean bizarrely awesome). Beverages: from small cans to large bottles of teas and coffees, refreshers like Pocari Sweat and Dakara Life Partner (I'm not kidding -- although, I'm sad to say Calpis turns into the far-less-entertainingly named Calpico when it comes to the states). Great produce, sometimes pre-packaged. Green tea ice cream. Toasted sesame seed oil. Oh, and this one comes with a challenge: If you can find the green tea flavor of MeltyKiss cubic chocolate truffles (I think they are called MeltyBlend in this country -- not to be confused with another chocolate kiss), I will love you forever and ever.
Korean: Seaweed -- try tearing off pieces of the toasted seasoned sheets and using them to pinch off bites of sticky rice for a yummy snack. Mochi -- yes, the texture is weird. Learn to love it. Lots of fresh seafood (some so fresh it's still swimming around in a tank). Kimchi, which it turns out, is very good for you. Large jugs of soy sauce. Huge bags of sticky rice. Muskmelon popsicles that make you feel like you're biting into a hunk of frozen melon.
Russian: Vodka (I'm not kidding -- there is a great market within a predominantly Russian area of West Hollywood with about 15 varieties of vodka on the shelf: wide price range, great graphic design). Beer (again, there are tons of Russian varieties I had no idea existed. And dare I mention the horrible/awesome pun that ensues? Russki brewskis, people!). Pickled vegetables. A wide variety of deli meats and cheeses.
This is hardly exhaustive. I'd love to hear your tips! And seriously, find the green tea MeltyKiss. I'm begging you.

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