I would buy from them, if we had one.

Yes I do...it's not only often cheaper, but I find some items are just better quality.

The farmers market by me isnt cheaper than the supermarket but i feel that the quality is so much better so to me its worth it to spend a few extra dollars.

There is a Sat morning farmer's market in the next town over, but all the produce is quite expensive. Of course, it is organic, so much better for you and I have been happy with everything I bought there, but I can't buy ALL my produce there.
There is a farm stand that is closer to my home and I like the produce there, but again they are not as cheap as the grocery store. Most of the items are grown locally, but early on in the season they will import fruits from other states, so it is the same thing you get in the grocery store. I don't buy the early stuff from them like peaches and strawberries because of this.

Our farmers' market is open July through November. I try to go as often as I can, especially for tomatoes and corn (I live in NJ and nothing beats NJ corn and tomatoes IMO). Most of the stuff is expensive but I usually do the price comparisons from the grocery store...if its worth it I would rather buy it at the market. Our market also has one vendor who has fresh meats from their farm and even though it is more expensive, it is by far more tasty and better quality. I like to support our farmers as much as possible. You just have to know your prices