I've often heard of concerns about eating locally through a farmer's market because it can cost more than the food at a conventional supermarket. This can be true, but one reason for this is because small, local farmers aren't receiving the same subsidies as industrial agriculture.
This blog post on Wise Bread talks about this further and gives great tips on how to save money at the farmer's market. Many farmer's markets, such as the ones in Boston and in my current town of New Haven, also take WIC and food stamps so that local food can reach a wider audience.
Some tips that I would add are:
1. Browse the entire market before buying -- often, some stands have cheaper produce than others.
2. Eat in season -- the most abundant fruits and vegetables will often be the cheapest. The more you buy out of season, the more you'll pay.
3. Buy in bulk -- along with eating in season, you can find good deals if you're willing to buy a few more carrots or tomatoes. This is also a great time to stock up on fruits and vegetables to can or freeze to have local produce available throughout the year.
4. Befriend your local farmer -- I'm not suggesting scamming our beloved farmers, but those who I have gotten to know and been loyal to have very generously given me deals on their produce. They know, too, that this business is all about relationships (well, that and good food).