I usually buy from Midway, as their shipping costs are reasonable, they have a variety of parts and accessories (I usually try to buy at least one magazine with every ammo order, or some other part -- a Ruger 10/22 Weaver rail for a red-dot sight and a bolt buffer are accompanying a brick of CCI Subsonic .22LR in the UPS system right now).
The dealer discount for FFL holders is also nice, and I like that they apply that to C&R FFL holders (the $30 C&R cost is easily balanced out in savings in the first order or two). Midway's website has been really slow for me recently, so I've been looking at other sources.
Natchez has some good prices on .22LR (what I shoot mostly these days, thanks to budget requirements and the fact that I now have a silencer), but their shipping is more than Midway. I'll have to work out the math and see which is more affordable in the long run.
The local gun shop has, surprisingly, some decent prices on most .22LR and other ammo, and a wide selection of powders, primers, bullets, etc. There's about a $1 markup on .22LR compared to Midway, and no shipping. Not bad if I just need a brick or two.
Wal-Mart has good deals on bulk-pack .22LR (525rds Remington Golden Bullet HP ammo for about $9) that my 10/22 gobbles up.
