If you are not happy with a supermarket or a grocery store in your neighborhood, there are three good and big supermarkets with good access from metro stations.
1. DagLivs and PrisXTRA at Fridhemsplan
If you live along the blue or green line in north and west Stockholm, going to Fridhemsplan station is another option. There are two big supermarkets. DagLivs (S:t Eriksgatan 34-38), which you can reach by following the exit sign for Fleminggatan, is 2-story mega supermarket store. Non-food stuff like detergent can be found upstairs. In addition, PrisXTRA (Kronobergsgatan 33) was opened in 2008.
2. Hemköp City Stockholm and Coop Centralen at T-Centralen
Take T-bana to T-Centralen and follow the exit sign to Sergels Torg. Once you pass the ticket barrier, on your left you will see the red letter sign "Hemköp" alongside Åhléns City. Enter the entrance below the sign and take the escalator downstairs. A wide range of foods in stock with fresh meat, cheese, and fish counters. Alternatively, follow the exit sign to Vasagatan. Walk straight to Stockholm Central Station. On your left is Coop Centralen, which opened in early 2013. Its opening hours spans from 6:00 to 23:30. If you arrive back from Arlanda Airport in the late evening, you can still buy your breakfast for tomorrow here.
3. Coop Extra at Medborgarplatsen
On the western edge of the Medborgarplatsen square, there is an escalator down to the basement. That's the entrance to Coop Extra, a recently opened two-story supermarket. In my view, vegetables on sale at this store are fresh, something rather unusual in Stockholm. :) The meat section is rather disappointing, but otherwise they sell a wide range of foods.
Saluhall (indoor food markets)
For fancier foods, visit one of the three indoor food markets in Stockholm: Hötorgshallen (the most international), Östermalms Saluhall (the most expensive), and Söderhallarna (convenient for those living in southern Stockholm). In addition, NK Saluhall (on the basement of NK department store) may have some import foods unavailable elsewhere in Stockholm.
Neighborhood grocery stores
If you happen to be in Hammerby sjöstad during the daytime, visit Fine Food grocery store for your dinner back at home. They sell tasty foods that are hard to find elsewhere in Stockholm such as Järna Mejeri's whole milk, buffalo mozzarella and mascarpone imported from Italy, beautifully-made smoked salmon, etc. There is an in-store cafe that serves good lunch, too.
Södermalm's SoFo area has Urban Deli (Nytorget 4), Good Store (Skånegatan 92) and Gryningen (Folkungagatan 68).
If you are not satisfied with bread sold in supermarkets (there are very few independent bakeries in Stockholm), try Gateau, a French-style bakery chain. Visit their website and click VÅRA BUTIKER for the list of branches in Stockholm. Grand Blanc and Italiennare (both 40kr for half a loaf) are recommended. Since the late 2012, Gateau bread can be found at some of the ICA supermarkets as well.
For ethnic foods, there are small shops scattered around in the city (also see a more complete list by Your Living City):
- Taj Mahal at Kammakargatan 40 (African, Indian, Thai)
- Indian Food Center at Kungsholmsgatan 15 (Indian), open 12-20 on weekdays, 11-18 on Saturdays, closed on Sundays
- Japanska Torget (Japanese)
- JFK Shop (Japanese)
- Korean Food (Korean)
- OMI Food at Olofsgatan 10 (Chinese)
- East Trading Wang at Olof Palmes gata 7 (Chinese)
- Asian Market at Olof Palmes gata 12 (Chinese, Thai, and a bit of Japanese and Korean)
- Huaxia Supermarket at Herkulesgatan 7 (Chinese)
If you fancy quality dessert (which is rather difficult to find in Stockholm), here are your choices:
- Vete-Katten at Kungsgatan 55
- Gunnarsons at Götgatan 92 (next to Skanstull station's north exit)
- Xoko at Rörstrandsgatan 15
- Petit France at John Ericssonsgatan 6
- Magnus Johansson at Lugnets Allé 7 (a patisserie run by Magnus Johansson, who's in charge of dessert for the Noble prize winners' banquet in December)
- Bisou Bisou at Hornsbruksgatan 24 (serving the best dessert in Stockholm in my personal opinion)
All of these dessert shops have a cafe space, too.
To buy booze (except for light beer), you need to visit a branch of the state monopoly store Systembolaget, which shuts down around 7 pm on weekdays and at 3 pm on Saturday (and is of course closed all day on Sunday). If you are looking for alcohol drinks from your own country (and any other foreign countries), I suggest visiting the one at Regeringsgatan 44. Here are some opinions of foreigners living in Sweden on this state monopoly.