I generally buy bulk ammo online from places like Midway or Natchez.
The Wal-Marts here are usually more expensive than the online places, don't carry the type or quantity that I want (with the exception of Remington .22LR bulk packs), and just dealing with their employees is a pain. I usually buy from 500-5,000 rounds at a time, so buying ammo box-by-box at Wal-Mart's not really an option.
I've not special-ordered anything through Wal-Mart, but I hear that's an option.
Personally, I'd rather buy something from a vendor (online or local) that is actually in business to support shooters rather than a general merchandise store. That, and Midway and Natchez both do the "NRA Round Up", which I like.
Finally, by buying something from an out-of-state company, I don't need to pay sales tax, which adds 7% to any purchases made in-state. The State of Arizona didn't do anything to get my ammo to me, why should they get the money?
That said, I'll have to look at Wal-Mart's prices and compare it with online vendors. Always worth looking around.