Depends on what you are looking for...
Dies and Press supplies I just order directly from Dillon.
As for heads. I have an office in Biddeford, ME. So I try to swing a town over or so when I'm there and pick up some heads directly from Northeast Bullets. Saves 8 bucks off the internet price for a 1000 heads. Which is almost always just a few bucks more than the 50 price at most shops.
And, if you live outside of MA, or any other state in the US. The website price posted is with shipping included. So that's the price you pay. You really can't beat his prices...
As for powder and primers, I pick it up at Ted's, or when I'm down at Bullseye in RI. Really, if I'm at a shop, and they have a good price, I'll pick up a pound or two.
As for Brass. I've always just went picking at my club after Police training. Or just buy commercial and keep my brass after I've shot it. I've bought some brass from people that were selling it locally...and when I was in Ohio, I would by a lot of brass off of eBay.