Ooohhh let me tell you! Not only is the coffee and gasoline cheaper, but also champagne cause there is no champagne tax like in Germany (don't know if you have this as well). And also taxes for tobacco is lower so it's cheaper and at last: there is no "Pfand" for canned sodas/beers (great for things like festivals). But the one thing a lot more expensive in Luxembourg are clothes. That's why a lot of people living in Luxembourg love shopping in Trier (Germany).

Hope you have a nice trip :) The shopping is great at every gasstation at the boarder (they have most of the time a little shop with exactly the cheaper stuff on top), but the capital of the country is nice to visit as well :)