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Ready, Set, Shop
Once you're at the store, set out to do your shopping in a timely manner. You don't need to rush, but try and avoid wandering around and backtracking. Spending a limited amount of time at the store will reduce the chance that your kids will get bored, cranky and difficult. You can use the aisle-by-aisle method, covering the non-perishables first. The perishable and frozen items should be picked out right before you're ready to check out. Some families like to split off when they get to the store. This can save time if you do it right. Make sure there are two separate lists. For example, dad and the two older kids can get do aisles 1-5 while mom and baby handle aisles 5-10.
If the store offers "fun carts" make use of them. Fun carts are shopping carts with small kiddie cars attached. The kiddie cars usually fit two children at once. This helps you avoid fights if you have two kids around the same age. Another perk of fun carts is that they're low to the ground and partially enclosed, so they help shield little eyes from possible tantrum triggers like sugary cereal and candy.
Make grocery shopping a learning experience. Even pre-school kids can help with lists. Make a colorful list with the names of the items printed next to pictures of the items. You can draw these pictures yourself or cut photos from magazines. Ask your child, "What's next on the list?" and he or she can "read" off the item. This will help keep your child occupied and instill some useful reading skills, too.