Yeah, thats what I do. I love the timothy hay at walmart but it does get costly.
Bales would be the best way to go. You can buy bales at farms, feed stores, hardware store (ACE, possibly Home Depot, Lowes). Usually they're about $5 a bale, I think. You can ask on craigslist in your area for good hay near you. Thats what I did (for bales) and got told of a few places that I"m going to check out. Some farms actually offered to sell me hay but it was alfalfa.
Buying hay online would probably end up being more expensive with shipping costs. I don't think we have thehayexpert here :?