Caputos on 314 W 300 South (right by the old Train Station), has a great selection of Spanish meats and other food items.  They have both jamon serrano and jamon iberico (last time I was there it was about $150/lb for iberico).  They also have various types of chorizo, and everything you need for paella, including a great paella hack, which is a pre-made caldo that you can add to the rice and reduce prep time to about 30 minutes from start to finish.