I've lived in Hong Kong for the past 15 years. I buy fruit & vegetables and meat & fish at the wet market. I prefer to eat meat that has been slaughtered this morning, than eat an animal that was slaughtered who-knows-when and then flown in.
Same reason I'm a bit sad over the demise of the local chicken stalls. I feel more secure if I can see that the bird looks healthy & active and is killed very close to the time of cooking.
Fish - again prefer live or very fresh to frozen in the supermarket. But yes we did avoid eels during the malachite green scare.
I do end up buying meat from NZ & Australia in the supermarket from time to time, because I'm shopping there and don't want to make an extra trip to a different shop.
Dairy products:
I buy the local (Dairy farm) yoghurt sometimes, mostly as a starter for my own yoghurt. I buy the same brand of sour cream & cottage cheese. I buy the NZ "Mainland" cheddar because that's the only reduced-fat cheddar that I like. The parmesan and fancy cheese - also imported.
Olive oil & fancy vinegars - imported. Wine - not Chinese. Beer - whatever catches my husband's fancy. He's been into the Tsingtao lately, but other times he likes Heineken, and still other, Fosters.
My husband and I are a little careful about buying some products (would prefer HK-made noodles, for example, over Chinese-made). But, you can only spend so much time worrying about things like that.
I get more worried about packaged food than fresh stuff - but I just bought some frozen xiao long bao for the kids as a treat for the start of school next week.
When we buy our fruit & veggies, we wash them carefully & some we peel.
IMHO it's silly to spend 3 times the price to buy Australian carrots instead of local carrots. But, it's not my $ and if that's one's pleasure: go for it. I probably spend $ on some things that are important to me that others might think silly.