I do it all the time. Fruits, Veggies, and herbs are fresher then anything you'll find in the store. I use Peapod (Stop and shop), they take your stuff from the warehouse before it gets sent to the store. Sales are different then in store and prices are a little higher in general (or maybe sale prices aren't as low). Tip + delivery charge is around $10. You tend to buy less cause you don't buy crap, so you save $. One thing is on meat/fish you never get what you ask for. Usually you say about 1 pound and sometimes you end up with 0.75 and sometimes 1.5 lbs.
I do about 50/50 delivery and going to the store.