I live in the farm belt, and local produce and other farm fresh products are for the most part not cheaper. In fact they tend to cost more. There are times when corn is cheap, but for the most part healthy produce, eggs, meat and milk cost more.
Our area also ships the bulk of the harvest elsewhere or turns it into ethanol.
We have no farmer's markets September through May, due to harsh winters. I do try to buy local and grow what I can.