I buy most of my powder and primers at local gun shows to avoid the HAZMAT fee. There are generally a number of vendors, but one in particular shows up regularly, has a good selection and very fair prices.
My local Bass Pro has a good selection of powders and usually has primers. Prices are "a bit" higher.
Of my local shops, two have powder. One has a fairly pitiful selection at fairly steep prices, and the other has a pretty good selection at Highway Robbery prices.
One more option--get enough people interested and do a group buy.