There is much misplaced angst about being able to buy the things you need in Japan. This post will attempt to allay fears and provide an alternative perspective on being a consumer on Okinawa. 
Buying food
Where to shop:
Of course, when in more rural areas we try to patronize small businesses and roadside stands. But in congested urban areas, one often must turn to a supermarket. Jusco should be avoided for grocery shopping. San-A is more affordable, but not our favorite. The best quality to price ratio is found at Kanehide and MaxValue. The COOP offers some organic produce and has pictures of the local farmers from whom they source their items. There are small fruit and veg shops throughout the island. Okinawa Hai reviews a great cooperative farmers market in Okinawa City behind Camp Shields: http://www.okinawahai.com/my_weblog/2008/06/this-is-a-fresh.html. This place has the best prices of any shop on the island, and the most beautiful array of produce anywhere. You can get long beans, passion fruit, mini-mangoes, wax apples, "snack pineapple" and a whole variety of melons and squash. They also sell local meat, tofu, seaweed, and other products. This place is always packed with people, and best avoided on the weekend if possible. The highway stop at Nakadomari is similarly interesting, with farmer's produce at good prices. There is also some produce at the Kyoda highway stop, but much much less of a selection.
Veggies at the commissary are generally of lesser quality and higher cost. The commissary also does not offer the fantastic array of veggies available at Japanese shops: huge daikon and burdock roots, different varieties of greens, mushrooms of all shapes and sizes, local colorful carrots, multiple different varieties of sweet potato.
On or off base, fresh herbs are difficult to source in Japan, so one may consider growing his/her own. Fruit must be bought in season to be affordable, but at least in Japanese shops one is rewarded with quality. Be sure to try tangerines, persimmons, and small sugar bananas. At the commissary, your peaches or apples may be inedible, picked unripe and shipped in cold storage from somewhere 10,000 miles away. Often, there are one or two things that are priced competetively and of decent quality, but the rest is substandard.
Fish/shellfish and pork are competetively priced at Okinawan supermarkets, and the fish selection is far superior to that of the commissary. In Japanese markets you can get whole fish to fry, sashimi, and cuts of all descriptions. Japanese sausages are surprisingly tasty. Given the prohibitive price in Japan, beef and lamb are more inexpensively sourced from the commissary; for the lamb aficionado Kadena sometimes sells whole frozen leg of lamb for reasonable money.
As far as grains at local supermarkets, we like the whole-grain thick-sliced bread. The in-shop bakeries tend to oversweeten their products and make squishy baguettes. For real bread and pastries, go to an independent boulangerie like Couques in Yomitan (on the 6, next to Shimauma curry shokodu) or Panya next to Tida restaurant in Urasoe. Pasta & couscous are exotic items in Japan, so is best sourced from the commissary. Domestic rice is exquisite and inexpensive.
Dairy products are a bit trickier; but trial and error will yield milk and yogurt products suitable to your palate. Blue cheese, gruyere, and goat cheese can be sourced at the commissary, but overall cheese is something less available here than in Europe/North America/Australia.
Okinawan supermarkets are a great opportunity to pick up local ingredients and try your hand at cooking Asian cuisine. The key elements of Japanese cuisine are dashi, mirin, rice wine vinegar, soy, sake, miso, and sesame, and all of these are available at rock-bottom prices at local stores (even 100Y shops). Noodles, tofu, seaweed, and fishcake are cheap and plentiful. On-base libraries have an excellent selection of cookbooks for guidance on how to use the ingredients at hand.
Alcohol is also quite reasonable at Okinawan stores and markets, especially if you develop a taste for shochu and/or sake. Domestic beer and some imported wines are also priced within reach.
Buying clothes/shoes
The exchange should be avoided unless you are a large person or you enjoy wearing the same clothes as all the other gaijin. Size matters in Japan. Shopping is feasible on the economy if you are less than a womens size 8 or men's large. Uniqlo (Ginowan shopping plaza, on the 58 bypass road) is a favourite for inexpensive on-trend classics for men, women, and children. On the south side of 23 in Chatan a new branch of a popular Japanese chain just opened, offering made-in-China clothes: an inexpensive place to get leggings, camisoles, and T-shirts with amusing statements. A better way to get cute T-shirts is to look for little shops selling the work of local artists/graphic designers. There is a T-shirt shop on the 6 in Yomitan, a couple shops in the arcade off Kokusai street, one on the 330 near the intersection with the 81, and several cafes also sell local crafts (among others, Paradise cafe in Chinen). Pallete Kumoji mall in Naha, at the west end of Kokusai street, offers beautiful but pricier clothes and shoes, which do go on sale. Good shoes cost money here, so consider bringing what you need with the knowledge you spend half the year in sandals anyway. Before arriving, become familiar with a couple online stores (ie sizing, return policies, shipping costs) to fill in the gaps. Underwear is best sourced online - ie American Apparel, Victoria's Secret, whatever. Lots of good quality kid's clothes end up in the on-base thrift stores, but the adult clothes there are a bit heavy on wear-and-tear.
Buying for the home
Try to bring the furniture you need, or plan on buying things used and passing them on when you depart. Some nice stuff comes up on the used market, but not for as cheap as you might hope. Buying furniture at the exchange or on-base furniture stores is not advisable and offers a poor cost to quality ratio. Japanese tastes in furnishings differ somewhat from western tastes. Should you desire to deck out your home in Asian pieces, you will have fun buying at auctions, on-base gift stores, and local shops. But if you prefer a more modern or minimalist look, you may have trouble finding classy pieces for reasonable money.
High-quality linens are expensive in Okinawa, and should probably be sourced prior to departure. Curtains are a bit of a challenge. Those stocked at the exchange are cheap-looking, and those at Japanese stores can be pricey. Cafe curtains are best sourced from a fabric store (House of 66 cents) while full length are probably best obtained by thoroughly reviewing options at some of the Asian furnishing stores in Mihama village and the DIY stores.
General home and garden decorating is a breeze in Okinawa. MakeMan (many locations, including Mihama village) and several other DIY stores (one in the Ginowan plaza by Uniqlo) are especially fun for those who have a yard and want a garden. Fruit/vegetable/herb/flower seedlings are available year-round for minimal money. The more intrepid shopper will note roadside nurseries and patronize those in preference. 100Y shops are the way to go to stock bathrooms/kitchens/laundry rooms/sheds/craft areas/home offices with more stuff than one could ever imagine. The creative mind will find many projects well served by these and local fabric shops like Shalimar house of 66 cents.
Buying in general
Any move is a great opportunity to look at one's possessions and consider what you really need. In particular, moving to Japan offers the chance to critically evaluate the big-ness of your life: the size of your car, your house, your television, your closet, your meals, your own body. For many westerners, almost everything can be substantially downscaled, with minimal negative impact on overall quality of life. Instead of bemoaning the smaller size of so many things in Japan, try to appreciate the environmental and cultural advantages of each individual taking up less space.
Some westerners describe shopping as their most important leisure activity. Some of these people arrive in Okinawa and spend their weekends wandering around the exchange, looking for something to buy. Or they complain about how much they miss Target, or Banana Republic, or H+M, or whatever. This strikes us as terribly sad. Living in Japan is a fantastic opportunity to explore other skills and hobbies, and find alternatives to rampant consumerism. Good luck.
