In addition to Gary's advice, I've got a somewhat more concise list of some of the ethnic markets on LouisvilleHotBytes.com at this link:
http://www.louisvillehotbytes.com/ethnicmarkets.shtml
In the next couple of months, Food & Dining magazine will have a substantive discussion of ethnic markets; and LEO will also come out with an annual city guide, "U R Here", which will have something similar, so there's plenty of reference material around.
To hit a few highlights, in addition to Whole Foods (which isn't a bad option), <b>Lotsa Pasta</b> is the specialty store that just about everyone loves. It started as an Italian shop but now features food from all over the world. <B>Doll's</b> and <B>Burger's</B> markets are both general but upscale grocery stores with lots of specialty items and excellent produce. <B>Highland</b> and <B>Seafood Connection</b> for seafood and fish - the quality of seafood here will surprise you for an inland city. <B>Valu Market</b> is interesting - three different neighborhood branches of this regional grocery, each specifically designed to serve its neighborhood. The one out in the South End is the most interesting - it serves a remarkably diverse immigrant community and has ingredients and produce there for just about every ethnic cuisine you can think of, not fancy, high-priced gor-may stuff but fruits and vegetables and canned goods.
There's <B>Rainbow Blossom</b> for organic, and <b>Creation Gardens</b> just east of downtown for very high-quality produce and things like whole lobes of foie gras ... they're basically a restaurant supplier that lets the general public come in.
Lots of small shops for specific ethnic groups - Chinese, Vietnamese, Asian in general, Indian, Mexican, African - the lists above, including the CJ's list, will help you with that.
And yeah, people do go up to Jungle Jim's.