Close to the Clube Praia da Oura, there are two grocery outlets. A small one is on the property, but there is a much larger food store just a couple of minutes up the road. The larger supermarket had everything we needed to cook our breakfasts and lunches (we usually went out for dinners). There is also quite a variety of good local wines at excellent prices.
Now, if you're looking for souvenirs to take home, you can certainly find many, many little shops on the main strip. So, you have quantity, but don't even think about quality! All the shops seem to have the same trinkets, and the prices reflect what you're buying. You know the old saying, "you get what you pay for." This is very true in Albufeira.