First, NOTHING compares to freshly picked fruits and vegetables. No tomato in the grocery store (even when they are advertised as being "local" - which still may be 1 to 2 hours away) is going to come anywhere close to a tomato that completely vine-ripened and picked a day or two before you buy it. Also, fresh sweet corn is beyond comparison also.
Second, you get personalized service. The people at the farmer's market will give you tips on how to prepare your purchase, whether it can be frozen (I heard a tip 2 weeks ago about freezing corn still on the cob that I am dying to try this week), prepared ahead, etc, etc. Become friends with the vendors at your farmer's market! Today I got some great heirloom cherry tomatoes and some great tips on saving the seeds so I can grow my own next year. I also will be getting some free zucchini seeds in a couple of months from another stall. They had "Eight Ball" zucchini which are round, and I commented to Kate (my 4 1/2 year old) that they would be fun to grow next year, and asked if you could get the seeds in the area. The owner of the booth said to stop back and ask at the end of the season and if I didn't need many seeds (I figure I can maybe grow 3 plants in the space I have by the house) he'd just give me some free. His wife is there every week and knows me by sight because I came in the pouring rain one week to buy blueberries from her.
Some of the heirloom cherry tomatoes I got today at my farmer's market - I can save the seeds from these and grow my own plants next year, and they were $3.50 for this pint container. I need to email the farm I bought them from and have them remind me of the variety.
Third, you know where your money is going and what it is supporting. Often, the people working the booth are the same people who are directly benefiting from your purchase. By purchasing from your local farmer's market you are supporting small business, organic farming methods (typically, though many small farms don't spend the money to be certified) and sustainable agriculture. Plus you can often get things like humanely raised meats and fresh eggs.
Fourth, you may be inspired to try growing your own produce, which is MUCH cheaper than buying it. I love to garden, and I have a separate blog with gardening info here. You do NOT need a lot of space to garden. You can grow many, many, many things in pots. Lettuce, for example, is GREAT for pots - it has shallow roots and is fairly compact. In fact, unless you live in the extreme north, you can plant some lettuce in a pot right now, and get some fresh lettuce before your first frost. And to extend the season, you can bring your pots inside or into the garage overnight for the first few frosts. The only thing you really need to successfully grow your own produce about 6 hours of sun in a spot a day. Though I know of someone who put their pots in a wagon and pulled them around to different sunny spots throughout the day.
So please consider visiting your local farmer's market. When you see the prices, remember that you are paying not only for the actual produce, but the vendor's time and energy in raising that produce. How much is your time worth per hour? How much should their time be worth per hour? That factors into the cost.
I will step down from my soapbox now. :)