I use the free program Handy Shopper on my Handspring Visor.
http://www.freewarepalm.com/database...-english.shtml
Groceries, of course, but I make entries by individual store. So in my price book, I list the stores that I shop at - Safeway, Albertsons, asian grocery store, produce market, costco, etc. You can also select All Stores.
Inside each store, I list out the items that I normally buy. You can also put notes on individual entries (where I put the price history of item at that store), and you can tag entries. I tag mine Unfiled or Beat This. Beat This is the absolute best price I've ever seen for the item.
If I'm confronted with a great price, I check it at the store I'm in, but I also check globally by selecting All Stores, then Beat This, to see if this is a really good price or the best I've ever seen.
I get my data by receipts but also by the paper and online flyers, and sometimes I see them at the store itself.