Our household's experience has been similar to BrooklynExpat's. Groceries are expensive if you don't eat like a local and are not interested in taking chances with from the Mainland.
We also like Australian/NZ meat and dairy.
Speaking of dairy, dairy products in HK are quite expensive compared to, say, the United States and, even if you're willing to pay more, you'll be stuck buying multiple teensy weensy packages. I haven't seen a container of fresh milk larger than a 1L carton in HK, for example, so we have to buy 3 or 4 at a time if we want to have enough milk for our coffees for more than a couple of days.