As I learned in Manila, often the best resources are hidden gems that you discover over time as you get to know a place. Hong Kong, I think, is even more like this than Manila simply because things are tucked away all over the place. There are a lot of large grocery stores that cater to expats, but they are super, super pricey. I have continually been shocked by the cost of things we consider necessities: milk, bread, cheese, meat of any kind. Fruits and veg I can get at the wet markets for decent prices, and you can find most dried goods at discount chains like 759, Prizemart, or Best Mart 360. But the other stuff, well I'm always on the hunt for the best deal. There's a great FB group called Budgeting and Saving Money in Hong Kong, which is a great resource for finding deals. The nice thing about Hong Kong is that there are plenty of other expats who have been here far longer than I who have already done a lot of the work for me! I've listed them first followed by some of the other resources I've found so far that I particularly like.
Farm Milk Company
Texas Food Supplies
The Meat Square
Woo Hing Hong
Ap Lei Cahu Wet Market (Aberdeen)
Sai Kung Wet Market
The Dutch Shop - I've been obsessed with Gouda since my first visit to little sister in Amsterdam, so I was super excited to find this little shop whose name says it all. It's not exactly cheap (I'm embarrassed to admit how much money I've spent in this shop), but I'm willing to pay for the quality!
Great Food Hall - While I mostly think this market is overpriced, they do have an awesome selection of cheeses and very good cold cuts (if you're willing to pay $5 USD per 100 grams that is). I also particularly like their prepared food, like their thai pomelo salad, which I think are a slightly better deal then the rest of their products.
Kiran's Provision Store - Indian supermarket chain
Oliver's - Reminds me a lot of Santi's in Manila. Very high end with good quality products, but expect to pay out the nose.
Le Magasin - French
Indian Provision Store - Indian store in TST
Dai Sang Supermarket
Leo's Fine Foods - Bulk buy store, meaning the prices are lower but you'll have to find the space to store it all.
Island East Farmers Market
Chun Yeung Market (Quarry Bay)
Bowrington - Wan Chai/Causeway Bay
Fruit & Veg - just a side note that I mostly think it's silly to get organic fruit and veg delivery in Hong Kong because it costs an arm and a leg while the local produce is generally quite good and can be gotten for a good price at the wet markets. However, I do think it's worth it for some products. I generally shop at the Wan Chai market because it is close to us, but I buy produce all over the place.
Sogo - Japanese chain, one in Causeway Bay and one in TST