I'm in Chicago and my LBHS is pretty cheap, I feel. I pay about $1.50-$2.00 per lb for base malts (less in bulk) and $2.00-$3.00 for specialty malts. Hops average maybe $2.50/oz for leafs or pellets.
My average grain bill is maybe $25-$30 for a 5 gal batch. Figure 5-7 lb base, 3-5 lbs specialty, a couple oz hops, and yeast. That's with our crazy taxes too. LHBS gives a 10% discount if you belong to a registered homebrew club.
They keep a mill in store and you can mill your own grains. The crush is a little loose, but I just run them through twice because I do it myself and it's free!
Added bonus, they usually have 3-5 homebrew beers on tap that you can taste while looking around or being rung up or milling (or all of the above, because the beer is free too)