Can't help with Durham specifically, but central NC has many shops. If you want to drive a bit, check Ed's Gunshop on US 1 between Southern Pines and Vass. Plenty of guns and pretty good on loading supplies. About an hour, more or less, depending on where in Durham you are. Perhaps a tour of several area shops might be worthwhile.
Close to Durham, Mace Sports in Mebane is a great gun shop. They generally have primers and powder. They sometimes have a limited supply of brass and bullets in various calibers.
There is a Gander Mountain in Morrisville. Go take a Gander then buy elsewhere for MUCH less.
Ed's in Vass usually has a great selection of guns and a good stock of reloading supplies. Bit of a drive from Durham but may be worth it.
For strictly gun shops, Fuquay Gold and Gun, Sovereign Arms are both in Fuquay-Varina. Young Guns in Apex is small but helpful.
Perry's in Wendell usually has a great inventory of guns. Friendly people too.
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