Bill Rudder runs Rudder's guns in Butner and carries some supplies. It's a small shop, so call to see if they have what you want before you make a trip, but it's there.
Also, there's Mace Sports in Mebane. They do a pretty good selection of powders and primers. Not a huge selection of bullets or brass, but again, not a terrible trip if you call and find they have what you want.
Honestly, brass & bullets are available at better prices online than anywhere; I only bought primers and powders locally (when I lived in Hillsborough) to avoid the hazardous shipping charges.