What're your favorite relatively healthy snacks from the big grocery stores like Walmart or Carrefour? Like maybe low in msg or sugar. Or especially no partially hydrogenated fats.

I liked the spicy roasted peanuts. They might have had a bit of msg, but not too much. Also the kit kat copy cookies. Didn't remember that it had partially hydrogenated stuff in it.

Also how much or how difficult is it to get greek style yogurt at a fair price? By that I mean the ones with good fat content, lots of protein, and somewhat low in sugar. I'm tempted to make my yogurt (via sous vide) when I get there since I may be there over 2 months.

I notice eating out in Kunming is almost as expensive as in the US.

The cost of living in Kunming is expensive, some things more expensive than even Shanghai. Eating out, like for like is and example.
Greek yogurt is expensive, as is cottage cheese, in comparison with EU and especially the US; where dairy is cheaper.
You can make your own Greek yogurt, I have, an flavor it with jam if you want that style of fruit flavor. There is a recent thread on making yogurt on here if you search.
My favorite snack, which is seasonal, is the candied whole kumquats.

see forum on yoghurt & ask there, not sure many people would think of it as a snack.