I get the large bales at our local co-op feed mill for about the same prices mentioned. I do try to shop there unless there's a huge price differential. It's very close, I save gas, it's easy and friendly to deal with, and since it's locally owned and run, I'd rather give them the $.50 or so I'd save than hand it over to the conglomerate places.
That's what I get over the winter, since it's easy to store and handle and the shavings are bigger and don't get clumpy as easily... in the summer, I have a very small, independently owned 2 man run sawmill just a few miles away, where I fill bags of sawdust and shavings myself. The smaller shavings and sawdust clumps up a little more, but that's ok for summer use. I get a BUNCH there for the spring clean out, then a few bags to add whenever needed. Yes, it's free, and I buy any wood I can from them too which is cheaper for some things than the big stores, more expensive for some, but I can get special wood there that you'll never find at a big store. It's not kiln dried, but that's not always bad, you just have to take that into consideration on some things.
I got some really thick sassafras from him to build my top bar hive with. (which I GOTTA get back to work on!! it's getting late!)
Anyway, my point is, go ask around at any small businesses you can find, stop in at places where some old farmers may shop, post some note cards on bulletin boards asking for information about small sawmill operations etc. You may get a few replies, and maybe meet some interesting folks. Take the time to learn where the old timers get shavings, and maybe wood and you'll help out the little guys and help keep them going. It's very much worth it.