i've never priced airguns online, but i buy pellets from this site:
www.dnrsports.neti haven't found anyone who can beat their prices yet, but shipping is a dent in the wallet (no different from any other online retailer though). if you can buy local, do so. noone around here sells .22 hunting pellets.
and be sure to use pointed or domed pellets if you're going to hunt. wadcutters will just mame and that ain't very nice. pointed pellets generally penetrate better, but domed often hold tighter groups. use whichever you know will give you a clean, quick kill.