It depends on what you are looking for. For one thing, understand that some things are going to be way more expensive on SXM than in the US, if that's where you're from. For example, snacks, like potato chips, crackers, etc., that are US brands are really expensive. So, for the best prices in general, avoid US brands, as much as possible. If you are looking for french brands in particular, or french wines, usually those are going to be cheaper on the french side. But most groceries are going to be cheaper on the dutch side, or at least they HAVE been traditionally, while the Euro was way high. But again, try to buy non-US brands. If you are looking for LARGE quantities, like cases of soda, there is a Cost U Less on island, but most people don't need that kind of quantity.
On the Dutch side, there are basically a few larger stores, if you want a decent selection of different things. The most popular are the Grand Marches, Maho Market, Fresh Market and Market Garden. The Maho Market is at Maho. Their prices, to me, are higher than the other places and their selection is often not that great. The Market Garden is at the corner of Billy Folly road (where you turn to go toward Simpson Bay Resort, etc). Market Garden is open later on Sundays, as the rest close at 2 PM on Sundays. MG to me again, is relatively expensive and their wines and liquors are more expensive. Their produce generally looks good though. Fresh Market is hard to describe how to get there, for me, know how to get there, but have a hard time giving directions to it. Their produce normally looks outstanding, but we honestly don't buy much there, never bought meat there. We basially buy almost all our groceries at one of the Grand Marches, as we believe they have the best selection and the best prices. There is one by the roundabout where Mark's is, one in Cole Bay and the two Gourmet Marches, which are a little smaller version of the stores, one in Simpson Bay and one in Cupecoy. I haven't paid that much attention, but supposedly the prices at the Gourmet Marches are exactly the same as the bigger ones, just they have less selection.