I'm originally from New Orleans, Louisiana via Dallas, Texas, and have found a hell of a time finding foods I am used to in markets around Sydney. Things like...
Yellow Wisconsin-style cheddar (NOT processed cheese-food...I will kiss any Aussie who knows the distinction, because I cannot find anyone who understands that cheddar is sometimes yellow and not because there's fake stuff in it! I'm a pretty cute lady too, so this is an incentive.)
Pepper jack cheese
Monterrey Jack cheese
Poblano, Serrano, jalapeño peppers, and even chipotle peppers
Latin spices such as Sazón and Adobo
Freshwater catfish, and other things.
I come from a Southern Louisiana background and am Puerto Rican in my ethnicity, and love to cook Southern US dishes in addition to Mexican and Latin (Puerto Rican and Cuban, primarily) dishes.
I have been able to find some odds and ends at Martelli's (things like plantain bananas) and some things at Asian markets in the CBD (black beans), but I thought perhaps I am missing a key market or two that a local or a fellow expat could clue me into.
Any help is much appreciated! I will happily travel where ever to find these things.