Midway for name-brand bullets (Hornady, Sierra, etc) and reloading equipment (dies, etc).
RMR, Xtreme, and Roze for bullets (Roze sells Zero bullets).
Local gun shows for hazmat items. There are a couple of vendors that are relatively local, but they come to the gun show which is much closer to where I live, so I wait for the shows to stock up. Considering I don't have to pay hazmat fees at the shows, the prices are very competitive. I have ordered powder and primers online a couple of times, but it takes a large order to make the hazmat fee worth it. I would rather support the local vendors if possible.