Depends on what's available locally. In Colorado, the selection of wood from sources other than retailers is very limited. Here are my sources:
1. Trees (doh!) - I can occasionally get access to urban lumber if I know of a decent tree that is being cut down. I can get it sawn for ~$50-$75/hour saw time, plus the cost of blades that are ruined by nails. Species I've gotten locally include ash, oak, cherry, maple, Russian olive, mulberry, apricot, plum, and elm. I have to dry them myself, and since I don't have a kiln, it's 1-2 years to air-dry.
2. Mills - Only one mill within 50 miles does anything other than aspen or pine. That mill is a good source of slabs, but for lumber it is about the going rate of the retailers. I have been known to drive to Iowa, as I mentioned above.
3. Woodcraft - Our local Woodcraft makes an effort to get a decent selection of wood, and is the least expensive of the retail options. The wood is decent quality.
4. Other retailers - We have pretty good options, including several in Denver, but they are the most expensive options.
Going from 1-4, the price goes up, but so does the selection and flexibility. Depending on the situation, a case can be made for buying from any of the sources. However, Woodcraft seems to get most of my wood business these days.
The takeaway of this thread for me is that you have to be creative and do your homework for your location.