While eating locally-grown produce (and other locally raised and/or produced agricultural products) makes a darn good bit of sense, I hadn't really thought about the true importance of it until I read The Omnivore's Dilemma by Michael Pollan. (It's a really excellent book, and I recommend that you go out and read it right now!) In it he takes a long, hard look at what we eat, where it comes from, what it goes through, and how far it travels to get to our plates. It's really a good read as well as a lesson in farming and food production in the US today.
In addition, Michael Pollan has a really nice list of links on his web page, including a pdf file of resources for eating sustainably.
Other on-line resources include:
10 reasons to eat local food
Locavores (based in the San Francisco Bay area, but there is information pertinent to all locales. I especially like their guidelines.
Eat Local! from New American Dream
So needless to say, I firmly advocate that you check out your local farmer's markets! A simple Google search (farmer's market+your town name) can turn up previously-undiscovered markets, as well as stores that carry local produce and free-range local meats and eggs. Also, farmer's markets are often mentioned in newspapers and are highlighted on the news, so check your local news sources. Also, there is this handy resource: Local harvest (a map of farmer's markets, family farms, and other sustainably produced food in the United States.)