Often, the price after shipping is as high as in a store, or higher. We still buy online as I don't want to patronize stores that sell birds. We use a variety of pellets, Roudybush being the predominant one. We get it from http://www.birdalog.com.
Lately, Baby has been more into Harrisons which we get from the vet. We buy Zupreem from our local feed store, they order it for us occasionally to ensure freshness.
It's just the price you have to pay!
One thing you can do is time your orders for food, toys and supplies so that you can make a larger order. The shipping goes down and sometimes it's free if the order is over $100 or so. Wish I had a better answer!