when i went to london in 2010 i was very surprised at grocery store prices. I had simply assumed heading to a large european city, things were going to cost a lot. They didn't.
Things have probably changed in the 3.5 years since then but at the time I felt I was essentially paying the same prices as home, but it had a pound sign before it instead of a $.
Ignoring the nz vs everywhere else argument as I dont have experience living anywhere else so am not that qualified to comment... but i did hear something interesting about food prices a while back.
No doubt that food prices in NZ are expensive in comparison to other countries and also to the general cost of producing the food. Obviously those are the two most important comparisons here but it is interesting when you look at statistics around food expenditure as a percentage of income. Someone told me about this a while ago, so I've googled and the quickest thing I could find relates only to the US where food is very very cheap, so not entirely applicable, but my understanding is that the trend also applies to NZ and most of the 'developed world' (i hate that term);

"Phoenix till they lose"