for the more common stuff you won't find better prices than at the big box stores.
if they have it, it is less expensive there than at the supply house, usually by enough to make it worthwhile. they don't deliver so that is an issue though.
we get most of our smaller wire from a supply house under a special purchasing agreement and most of our larger wire from Internet sources. it is often quicker to get that way too. we do not use large quantities of bigger wire. a few hundred feet of 1/0 is not an unusual order.