Craigslist is the first place I look. There are a lot of people selling it for $13 a bale but they aren't close enough to me to be worth it. I bought 4 bales of alfalfa for $14 a bale and 4 bales of grass for $11 a bale at my usual place. All the stores around here buy from them, so they seem to be setting the price for everyone else who are all selling for $15 or more in order to make a profit.
I havn't really thought about pellets because my one horse that I feed alfalfa eats with one of my sister in laws horses on her property, and there's not a way to split them up. This is an issue because not that long ago they traded this horse for a better trained one to a lady who only fed pellets. The other horse didn't work out so they ended up trading back. Their horse coliced when he came back home and they were told it was because he was switched from hay to pellets. I don't know how likely that is but there is no way they would allow him to eat pellets again. I don't really have a say in it because it's their property and they feed MY horses for me.
When I bought my first horse 2 years ago, hay was like $6 a bale, going up to $9 or $10 in the winter, but this is just ridiculous.