Great post, lots of nostalgia. I have lived in Bangkok for 8 years and I just returned to my home country.
Siam Paragon's Gourmet Market is certainly one of the best supermarkets in Bangkok.
However, to find more imported goods, such as cheeses, meats, dairy stuff and so on I strongly recommend to pay a visit at Villa Market in Phrom Pong (SkyTrain Station), It's open 24 hours and from time to time you can also meet some of Royal Family members shopping there.