MoJo wrote:Don't be lulled into a sense of complacency by cheap prices - - - check the bottom line. Caveat Emptor!

In my experience, the best way--really the only effective way--to compare prices directly is to use a fully-burdened cost-per-round. I used to keep an Excel spreadsheet for that purpose, but now generally rely on http://gun-deals.com/ammo to give me my basic benchmarks; then I research and calculate from there.
When I maintained the spreadsheet, "fully-burdened" meant specifics about the ammo itself (for direct comparison purposes), the advertised cost to buy and the number of rounds that represented, the total cost of shipping, any handling or "other" fees, and the IRS standard mileage-rate-times-distance if I decided to drive farther than 10 miles one-way to make the purchase in person.
The latter specifically had to do with the way I looked at Ammunition-to-Go, the Bass Pro closest to me, and Walmarts or other stores outside my neighborhood. That added cost calculation may or may not be applicable to everyone...but that's the way I chose to evaluate it. The 2011 IRS standard mileage rate is 51 cents per mile. At $3.50 per gallon, if you get 15mpg that's about 24 cents per gallon in direct expense. Combine that with mileage wear-and-tear on your vehicle and your time spent driving, and I decided the IRS standard was actually on the conservative side. It definitely can change the evaluation.
That said, online purchases are generally only cost-effective if you're buying in volume. If you need a couple hundred rounds of 9mm for practice or IDPA, your neighborhood Walmart is almost always your best bet. (BTW, why is it that Sam's Club doesn't sell ammunition? Never figured that out...)
'Course, To see an accurate comparison when purchasing multiple types of ammo, you have to look at your entire, intended purchase. For example, if you're considering 3,000 thousand rounds of .45 ACP, 2,000 rounds of .223, and 1,000 rounds of 12 gauge for three-gun, you need to look at the fully-burdened "bundle." If you can get everything you want at one place, even if the individual per-round cost is higher, you might be better off by combining everything in one order.
If you aren't in a hurry for the ammo, look closely at the vendor's back-order policies, if that applies. I've had excellent experiences with Sportsman's Guide, Natchez, and Graf & Sons buying out-of-stock back-orders. In all cases, the communication was frequent and excellent, and all honored the original purchase price...even though in one instance the order wasn't fulfilled until three month's later when the new, identical product was selling at a price over 10% higher.
One final note: both UPS and FedEx have announced significant rate increases as of 2012. The net increase will be just under 5% for both ground services, and this will undoubtedly impact our bulk ammo purchases starting January 2. In anticipation of that, I'm giving myself a small stock-up Christmas present...