I've used Cole Distributing, listed above, Cheaper Than Dirt, Cascade, and Natchez Shooters Supply.
I typically buy a case at a time, of 9mm ammo, and a half-case of .45 ammo. I've used Sellier & Bellot, IMI, and PSP (South African ammo), with comparable pricing and performance.
My favorites are Natchez and Cole. Cheaper Than Dirt often has a wider variety of ammo, but their prices aren't always competitive. (The last 9mm I bought I paid $5.93 - which came to about $6.25 with shipping.)
[This message has been edited by Walt Sherrill (edited October 14, 1999).]