Breads
Brazilians like their breads freshly baked. So, twice a day, early in morning and in the evening, they'll make a track to the closest "padaria" and bring home all sorts of hot rolls and baguettes. My favorite padaria in Rio is Confeitaria Rio Lisboa, pictured above. It used to be one of Tom Jobim' s haunts, by the way. Brazilians have a lot of wonderful packaged cookies, some similar to Oreos and such, but most will be new to Americans. Try freshly-baked arrowroot, coconut or cornstarch cookies, which are marvelous. Most supermarkets have a bakery section, right next to the deli section.
Padarias are marvelous spots to have a cafezinho with bread and butter or toasted bread with Minas-style cheese, and...socialize, of course!
Other goodies
Bakeries also sell sodas, cheeses and cold cuts, and a variety of other foods. Many padarias will also roast chickens (see photo; they're done by the front door and are called "TV for dogs"), so if you're a busy person you can pick up your dinner with your fresh bread!
Don't forget that Brazilians use the metric system. When buying sliced ham, for instance, one hundred grams is about a quarter of a pound.