All grain isn't that intimidating, as a lot of people seem to make it out to be. The only thing it requires that extract doesn't is a full set of equipment. So you spend the money up-front, but otherwise it's usually a one and done thing until you decide you want "more better."
I would suggest continue a little bit of research, but really to figure out what kind of all-grain system you want. BIAB (brew in a bag) in its purest form requires just a kettle, a burner, and a grain bag. I decided on two kegs (one HLT, one BK), plus a 10gallon igloo cooler mash tun in which I use a grain bag and full-boil mash (like BIAB). I personally decided on stainless parts over aluminum and brass, though part of it was b/c I got some cheap decommissioned kegs from a local brewery. You'll also need a turkey fryer.
Anyway - where to get stuff sort of depends on who has what you need. Certainly you can get a full setup from a home brew store, but you're going to pay top-dollar, admittedly for a pretty nice turnkey system. You're relatively close to MoreBeer, so the drive wouldn't be too bad if you actually wanted to see the stuff for yourself. As for other parts, Home Depot/Lowes will have some misc items. Brew Hardware and Bargain Fittings has things for your kettles. I had good experiences getting quite a bit of equipment from Austin Homebrew. Again, it depends on what type of setup you think sounds good to you, and how much DIY you are comfortable doing. There's no rule saying you have to have a specific brand or specific set of equipment/parts. Only a few things are absolutely required.