Where is the cheapest place to buy ammo?
Practice Ammunition
Assuming that there is a desire to buy brass cased practice ammo (hard ball), there are many different sites on that oh so amazing Internet. Here are the sites that I use.
There are other sites, obviously. There are a few sites that try to track pricing around the Internet, and they do a pretty good job. You really need to be careful, though, that you don’t end up buying steel cased, aluminum cased, or steel core ammo as most ranges do not allow their use.
The search sites are easy to use, but again, be careful that you don’t buy something that you were not prepared to get. For example, a food friend recently purchase a bunch of 22LR and found out that it was the kind that used just the primer and did not have any powder in it. While it would work in a revolver, it would not cycle a semiautomatic.
Defense Ammunition
You can use the same sites, above, to find defense ammo. However, you will probably want to do some research to pick the rounds that you think will work best for you.
I highly recommend you do a little browsing here to get more information on defense rounds:
http://www.luckygunner.com/labs/self-defense-ammo-ballistic-tests