Try some of the discount supermarkets if there are any near you: Lidl, Aldi and Netto are all cheaper than the main chains and have some good bargains (wouldn't recommend Netto's fruit & veg though, which is pretty grim...). My favourite of the 3 is Lidl which has excellent quality groceries, just they are mostly German and other continental brands you might not have heard of.
I agree Sainsbury & Tesco are about the same price wise. You can shop cheaply at both of those, especially if you buy some of the Value/Basics range and check out the special offers. Waitrose is more expensive, probably not within student budget for general grocery shopping. Asda is about the same as sainsbury & tesco, maybe slightly cheaper. Marks & Spencer I would not even call a supermarket, it's a food hall in a department store, and not really somewhere most people would do their weekly shopping (except maybe Dale Winton, I saw him buying groceries at the Marble Arch branch once!!).