I mostly buy what I need from those who have it at the time I need it.
Local gunshows used to be a good buy. Many today are pricey, but you can still save a bit...usually from the small guy who isn't a business and doesn't have to collect taxes, or those businesses with Event Sale pricing.
I usually try to buy locally, and am willing to spread my purchases around in order to support everyone in the business. As I travel for work and pleasure, I am always stopping in at other shops looking to see what they might have on the shelf that I am looking for. Have found many items and bargains this way over the years.
When I cannot source locally, I will call a variety of suppliers across Canada.
Prophet River, P&D and Rayner'Shine have all been good to deal with over the years. Most notably for those hard to find items. They have been getting a lot more of my business over the past few years as their prices and ability to get in hard to find items has been very good.
Yes, the shipping of ammo, powder and primers can be a pain as they must be shipped by courier, but that is just the way it goes. It is nice when a supplier provides free shipping...but usually this means that the initial price of the product has this built in as these suppliers cannot afford to lose money and shipping is definitely costing them money! Sometimes they buy enough during buying sales that their margins allow for shipping; but it is covered somehow. Our fluctuating dollar definitely has an impact too!