Food Inc. is terrifying, isn't it!
Everything at the grocery store will have preservatives, pesticides, etc. Unless you want to start your own farm, you may have to accept that you can't avoid it all!
What I am doing is only buying from the outer edge of the grocery store (all your food groups), nothing from the aisles. Meat and cheese from the deli, milk and eggs, fruits and veggies, bakery fresh baked stuff (trying to avoid the bakery desserts though! Soooo good).
If you can afford it, get free-range/organic animal products (meats, eggs, and milk/cheese). Personally, I am afraid of added hormones/steroids rather than pesticides and preservatives. Also, free-range eggs taste better!
Some people swear by the hunter-gatherer diet, or the vegan diet, or other trends. To me this seems like too much money and effort to get all the nutrients you need. Fill up on veggies and fruits as much as you can stand to...