Any petstore, most grocery stores, and just any place that sells any pet supplies at all should have some. It will generally be more expensive and smaller bags at those places than a feed store or saw mill but still the most cost effective bedding to use. It's extremely easy to find pine shavings just go drive to some nearby stores and you'll come across some.
The downside to shavings from sawmills and wood shops is that they aren't sifted. They can be extremely dusty which is bad for both your animals and your own respiratory health. They also are likely to have large chunks in them. Personally I would not use such shavings in a brooder or smaller coop. Only in a large well ventilated area. We have used them for horse stalls when we had at least a dozen head being put up nightly but now that we are down to 5 the money that would be saved isn't worth the extra effort of hauling unbagged shavings, the lower quality, and the mess it makes.