I'll buy ammo from Wal-Mart if they have the best price (which they do sometimes) or if I'm in a hurry and they have what I'm looking for. Most of the time I'll cross-reference prices using http://www.ammoengine.com or http://ammoseek.com/ and try to find the lowest price online.
Just found another nice place by me, selling Lake City Militarty 62gr 5.56 ammo. 300 rounds plus a 30mm ammo case (metal) for $125.00
I buy most of my ammo though rogers sporting goods in Liberty, Mo its the cheapest i found exspecially for steel shot
Browning has a pretty nice deal going on if you be a gun in April they pay 75 dollars worth of ammo. Did it when I just bought my Maxus... Pretty sweet, was able to scoop 250 shells.
I tend to buy most of my clays ammo at Dick's sporting goods, usually their prices are close to what Wal-Mart offers. For me, not having to step foot in Wallyworld is worth paying just a bit more. For hunting ammo, I get online and have B&P send me a case of High Pheasant ammo once a year. If you have not tried B&P ammo you should.
Cabela's in Hamburg PA Dick's Sporting Goods in Willow Grove PA Valley Forge Gun Show @ VF Convention Center, VF PA Sportman's Guide mail order