Whilst Nazare does have a large out of town supermarket, the savvy shoppers head to the huge indoor market which opens every morning except Monday.
Here's a Photosynth image of it:
On the main floor are fruit and veg stalls, plus bakers. In the outside alcoves there are three butchers and around to the right on the upper level are the fish stalls. You're expected to inspect the produce and select your own, so you can be sure that everything is top quality and the fish is so fresh that the the fish stalls don't smell at all fishy. A brilliant place to get your food!