I've bought bullets from Midway, Ghost Holster, and Precision Bullets.
So far I've purchased powder and primers locally (Bullseye in Lawrenceville). After I use the 1,000 primers I just bought, I will be placing a large order from Powder Valley.
When companies ship powder or primers, there is usually a $20 Haz-Mat fee tacked on to the regular shipping cost. I need to order nearly 5,000 primers to break even, 10,000 if I want to start saving over local purchases. If I can get a couple of people to split an order (and the Haz-Mat fee), it's better for everyone involved.