City Super has imported foodstuff from around the world - no wonder things are pricey-er (sp?) there...
There are a couple of ParknShop Superstore too. Although not any close to the scale superstores can be in the UK or N America, they still have cooked food stalls, meat, frozen food, proper groceries, etc. For location, try http://www1.parknshop.com/WebShop/help1.jsp
Other than that, you've supermarkets in Japanese department store such as Sogo, Jusco, Uni in Taikoo, Seiyu in Shatin in a similar style.
I'll say that this is because everyone lives in the city area, places are so accessible that no one really needs to drive to get groceries every week...!
That and because land is expensive in HK...