Cabo San Lucas is filled with local, mom and pop corner grocery stores as well as having Supermarkets like Sorianna's, Chedraui, Mega and Wal-Mart. Chedraui is used more by the locals and the others seem to have a good mix of locals and expats and tourists. We also have a Costco here in Cabo San Lucas.
Fresh fish can be bought right off the docks at the marina. The fish mongers clean and filet them up right as the boats come in. For about $5.00 US, you can take a pound or more of fresh tuna, mackerel or whatever the catch of the day is, home with you.
Meats are lower priced than in the US. A good porterhouse steak can be bought for about $7 US a pound. Chicken and pork are lesser priced. The nice thing about Mexico is they don't use preservatives on their meats. Eggs have wonderfully yellow yokes that make your breakfast omelet light up your plate!
There are many Mexican counterpart foods to what we have in the US. If you buy the local brands of tuna, salad dressings, etc. you will definitely pay less than the foreign (US) brands. And, not all stores carry foreign brands. However, we do have Santa Carmela Market, a boutique specialty store. The owners will happily custom order grocery and deli items from the US. My favorite item from them is molasses - a MUST for my home-made BBQ sauce!
You can buy a bottle of tequila for $3 US, a decent bottle of wine (Mexican, South American, etc) for about $3 US and loaf of fresh baked bread for about 50 cents.
The mom and pops feature less variety, but at very affordable local prices. These are the neighborhood stores that are found throughout each town and where people shop daily vs. stockpiling for weeks or months worth of food. Most Mexicans buy fresh daily, mainly because the traditional Mexican kitchen usually has a smaller refrigerator, no oven/stove combination and not a lot of kitchen cabinets.
We also have a wonderful "Farm Fresh" service available that will deliver fresh produce from local area farms right to your door every week called Baja Farm Fresh.
Many people don't realize that a large percent of our groceries and commodities are shipped in, either via truck or ferry to Cabo San Lucas. So, we do pay a somewhat higher price than the more rural communities that depend on locally available foods. And we are lucky that our selection is very big, mainly due to the amount of residents, resorts and restaurants located here.
I'd say overall, from where I live in Colorado, there is about a 40% difference in food cost, with Mexico being lower. I live in a very remote US town, where our goods are also trucked in through the mountain passes of the Rocky Mountains to Southern Colorado, so it's very similar in that respect.