The Washington Post reported on a fascinating study done by the Scarborough research group. Unfortunately, I can't find the report on the Scarborough website, so I'm not sure about the Washington Post's interpretation, which is confusing to me. They claim the report shows that Republicans tend to shop at Costco or Walmart, Democrats shop at Whole Foods and Trader Joe's, and Independents shop at smaller grocery stores like Kroger.
The study, as reported by the Post, goes on to say that consumers with incomes over $250,000 are especially likely to shop at specialty grocery stores. (I guess this means Whole Foods. Here, in Nashville, we know Whole Foods is where music stars shop. I've seen Keith Urban there myself and heard Alison Krauss complain in a concert that it should be called Whole Paycheck.)
The Washington Post article also references a study showing that Costco shopping is bi-coastal, Folks in the rest of the country tend to shop at grocery stores, but on the coasts, it's Costco, Trader Joe's or Whole Foods.