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They all deliver to the various accommodation. They won't come directly to your room, as you might be up three flights of stairs and there aren't car parks near most rooms however they will go to your building. The only time I got a delivery from Asda they went to the car park that was like, 30 seconds walk from my flat.
You would be better off going to sainsburys or morrisons or asda yourself though unless you want to either buy all your fresh food from the over priced union food shop or possibly the tesco or co op near the university (which are still overpriced imo) or have not very fresh food or have two or three deliveries a week. Whenever I've ordered groceries online back at home they've always been only a very few days from the use by date.
I get Tesco to deliver to my kitchen window since I'm on the ground floor I do deliveries roughly once a fortnight and buy odd fresh bits from the Tesco express/Co-op down the road (the little shop on campus is a bit pricey!), if you get a few of you to do a delivery together it means you can spread out the delivery cost too I also think of it in the respect that (since I don't have a bus pass), the cost of delivery is much the same as it would cost me to get a return trip on the bus to get to Morrisons anyway..
I order from Asda all the time Stuff like fresh fruit and veg is best bought in the shop itself if you can manage it (there's the UFO, and the tesco express nearby), but everything else is great, I do just about all my groceries online
Also, what Lucyyy said: it's cheaper to get it delivered sometimes than it would be to get the bus there (plus you don't have to carry it all back!)
They won't deliver to your room, but they'll deliver right outside your flat, so it's still way more convinient than shopping in person.
Well all I can say first year, you should buy a bus pass. On that note, you can do your food shopping in multiple places whether close by or further away via the 25/35 bus route (Around 15-20 minutes to town but it depends on traffic) from shops like Tesco, Co-Op, Sainsburys, Iceland, Morrisons.
A lot of students tend to stick with deliveries. Asda seems to be a popular one, as you can't get there via a bus directly, so some students get a taxi there and back. But ordering online tends to save money.