Originally Posted by AlmostGreenGuy

Mt Detours Toto panniers seem to do the job. I clip them to the side of my grocery cart, and load them up as I walk through the store. This keeps me from accidentally buying more than I can transport. I then empty them onto the belt at checkout, and have the bagger fill them right back up. I carry them out to my bike via the shoulder straps, and clip them onto my rack. And if you get caught in the rain, they come with rain covers.

The only real downside is that each pannier only holds about the volume of a single grocery bag. but if you're looking for an all-in-one solution, there isn't much way around that.