We examine how consumers’ decisions are shaped by their past experiences as well as by contextual cues. Using data from a large UK retailer, including an experiment that exogenously varied prices, we find that the history of prices faced by individual consumers matters for choice: the consumer is more likely to buy at a given price the higher the prices seen previously. Building on a model where past prices retrieved from memory form a norm relative to which current prices are assessed, we develop new predictions: contextual cues, such as similar goods being on sale, affect memory retrieval, price norms and choice. Demand is inelastic for moderate departures from the (individual-specific) experienced prices but is highly elastic for large price movements. These predictions are confirmed in the data, and help explain puzzling patterns of aggregate demand.