I participate in a group grain buy here in Denver once or twice a year. I buy English Pale, Pilsner and usually split a bag of Munich with someone (avg sack price is $40-50 with shipping). I purchase my American 2 row from my local Gordon Biersch brewery. The head brewer allows me to come by and fill up my 33 gallon trash can I use for grain. He charges me his cost, which is about 30 cents per pound.
I buy specialty grain, yeast and other supplies from my LHBS. It's close - 15-20 minutes into Boulder for me. They have good prices and service so I try to spend my money there when possible.
As for the bulk grain, they just can't come close to those prices which I understand. As much as I brew, saving some dollars is helpful. I try to frequent mom and pop stores, restaurants and services as much as possible, even if it costs a little more. When it costs a lot more, I tend to go somewhere that less costly.