This may be too simple, but I have found that the Corte Ingles in Madrid, Granada, and Alicante, have grocery stores in the basement levels with a really great selection of everything from fish to olives to beverages of all kinds to crackers and meats and cookies.....I appreciated that they are always centally located and easy to find...and I thought the prices were decent. There were even some specials that were hard to resist.
(Corte Ingles seems to have everything from duct tape to high fashion...and I liked the book store in Madrid...especially. They also have some great touristy things for last minute take-home recuerdos, and at very reasonable prices)

I'm trying not to be green with envy. If I had known that I would have to cancel the student trip to Spain, I would have clanked home with a lot more tins of olives!!!!