I don't have one at all locally! I order quite a bit from Northernbrewer.com and austinhomebrew.com. There are also some new ones coming up- one is a vendor here and it looks like he has everything I could need, and I'll give that one a try next time.
Northernbrewer.com only lets you buy stuff by the pound, though. Austinhomebrew.com lets me buy two ounces of this, four ounces of that, etc.
Still, I do have quite a supply in the basement! Anything that I use often is something I buy in quantity. I have base malt (2-row, maris otter, munich malt, vienna malt), crystal grains (40L and 60L), and then several one pound packages of carapils, caravienna, caramunich, etc. This is only practical if you have your own mill, though, and can mill what you need on brew day. I have about 5 pounds of hops in the freezer, too, so I can just grab what I need on a brew day.