Depends on what you mean by cheaper.
Personally, I would rather have clean, fresh, raw milk. I have BEEN in dairies that provide milk to groceries stores, and trust me, you do NOT want to know what I saw. Not to mention by the time you get the milk, its old and so processed it's barely more than chalky water.
Anyways, I certainly don't care if people buy milk from the grocery store, this is only my opinion. I love my goats, and its not as hard as its being made to seem to the poor OP. Goats are tough critters most of the time.
So if you mean cheaper money wise, yes, its less expensive for me to run to the grocery store and buy a gallon of chalky milk.
But to me, its worth far more than money to spend time with my buddies and bring in fresh healthy milk that hasn't been processed to death and didn't come from a over stressed, over bred, filthy poor old cow.
**Disclaimer** NOT ALL Dairies treat their cattle the way I have seen from some major dairies. (I wasn't supposed to be in those dairies by the way!) I know a dairy just a little ways from here who takes GREAT care of their cattle! When I need milk that is not goat's, I go there. I just don't like buying products when I know there's a good chance the animal wasn't treated as well as it could have been; I'm sure some of you understand that.