There are a lot of good online sources. I personally use Squadron (www.squadron.com) most of the time but Great Hobbies (www.greathobbies.com) is also good as are several others.
For paint you probably won't save enough ot offset the shipping cost, but the advantage is that frequently you can find brands that aren't available locally. I'm lucky in that we have several local stores and I can get Alclad, Tamiya, Model Master, Polly Scale, and Citadel without ordering them.