I get my specialty grains, yeast and other ingredients from RiteBrew.com. They are only a couple hundred miles away and stuff arives within 48 hours typically.
We have a local homebrew supply place, but their hours are horrible and prices high. I want to support them, but they make it really hard.
For base grains, our homebrew club does a couple group orders. For generic pale ale malt, brewers malt, pilsner etc, we work with a local brewery who adds our order onto their order from Briess. It's typically $25-30 a bag.
For European grains, we do a group buy and get stuff like floor malted Maris Otter for $40/bag. Frequently members will split a bag if they don't want a whole one.
In general, if you're not in a homebrew club, see if there's one around and join. It's a great source of information, feedback, sampling and events (we serve our homebrew at a nearby community's beer fest, for example).