Yes, I buy from all that I'd mentioned, except the high end stuff in the large buildings. I guess I'm cheap, er, frugal.
We love to buy from farmsteads and roadside shacks both locally (I live 40+ miles outside of the city) and when we take weekend trips to farming areas in Pennsylvania, NY state, Vermont, and Maryland/Delaware.
I forgot to mention the roadside pickup trucks in Maryland near the shore selling bushels of Blue Claw crabs, and Littleneck clams along with corn, onions, and fruits during the Summer.
I understand what you mean about cutting out the middleman, but in this case there are several middlemen, and only the ass end is being cut out (The last haul/distribution7 into a supermarket). There still are importers, and distributors, warehousers, and so on. It ain't farm to store to table as they would have you believe.
However, we especially have fun buying things from people known as the Amish in Pennsylvania. They are a religious sect that uses old timey farming methods and do not use electricity or gas powered engines.
It's a sight to see when travelling through their countryside of rolling hills and farms as they plow or harvest a field using a team of horses and equipment from more than a century ago.
When we bought our new house, we had a lot of our furniture handmade by Amish communities. You cannot believe the quality while the price was comparable to what you can buy in a regular store. And to think it was all made without large power tools blows my mind.
Getting back to farmer's markets, I will buy veggies from the "seconds" market for my birds; my familt too, but you need to be sure to shake the boxes of the sweeter fruits like grapes or peaches to see if fruit flies emerge. I've saved a few bucks just to end up dealing with an infestation of fruit flies in their room.