If my local home brew shop doesn't have the grains I want where do I get them? Is there a good company to order from? Is it cost effective to have them shipped?
Talk to the owner or manager of the lhbs. Chances are they can get your grains shipped on a regular order for much less than shipping from one of the online stores.
If you are only looking for a few pounds of specialty grain that your LHBS doesn't stock, you really don't have a choice but to get them shipped. I have used Rebel Brewer, AHS, and Northern Brewer for grain purchases.