I've gone to Cabela's over the years and always been treated fairly. May not be the cheapest but good service and availability counts on the plus side. I also have used Midway and MidSouth as well.
On a local level I've had good luck with Dick's Sporting Goods and Wal-Mart (in season only!) for the little things I need such as sabots/bullets, cleaning products, percussion nipples, and black powder subatitutes.
Jim