If your on a tight budget shop at Exito, which is the main supermarket. They usually have sales on special items, two for the price of one. The security guards will stop you on arrival and your exit to check your bags, in some shops you have to leave your bag in a locker of which you get the key. Normally in supermarkets they check your receipt on the way out. Although this did not happen to me very often it's normally just the locals who get a hard time.
What to buy: Food, shampoo, fresh bread,
What to pay: Much less than normal prices.