I did a cooking class through my hotel (Anantara) in Chiang Mai a few weeks back. It was my wife and I plus four others and we went by tuk tuk to the local food market where we bought all our produce, though the chefs were also happy to just buy random bits and pieces of interest to show us, plus anything we wanted to try from the stalls was fair game too. We then went back to the kitchens where the ingredients were prepped and we made a five course meal, including dessert. Anything that we couldn't eat was boxed up and refrigerated and we could request it as room service whenever we wanted (though we had it as a late night meal that day)

I've done a food tour of NYC's West Village a few times when out of towners come over. What's good is that you might only get a smaller dish at each place rather than the full monty that you'd get if you researched and walked from place to place yourself....also the guide will provide information and tidbits of history and other things enroute, so you aren't just walking and eating. Generally I'm not a tour person at all but these ones (Foods of New York) are pretty good, IMO.