I usually buy from a couple of big-box stores, Tractor Supply and Menards. TSC usually has a good preseason sale where you lay away pellets in July and pick them up in September. The checkout process can be agonizing but the prices are very good. I usually have to return some moisture-damaged bags.
If you're within a reasonable distance of a Menards, they usually mark their pellets down in February, about the same time they offer an 11% store-credit rebate.
The problem with both stores is that they offer several different pellet brands depending what's available for (their) cheapest price. Menards often has Marth but sometimes gets Somersets, a pellet from Kentucky that's the byproduct of their hardwood flooring factory. Those pellets have a lot of oak content and burn hot. Buy them with confidence.
TSC is a total crapshoot. As I mentioned, they had Michigan Wood Fuels at my store this fall. Last year, they had Lignetics Appalachian blend. Those are probably the best Lignetics pellets because they have a high oak/hickory content (BTW, Lignetics now owns Marth, which are mediocre pellets).
On the plus side, TSC sells hardwood and softwood pellets for the same price. I've had Rapid Heat softwood pellets out of South Dakota from TSC, a pretty decent pellet. This year it's Timberland Peak softwoods, either from North Carolina or Idaho. I'd rate them pretty good, not great.
The big-box stores generally stock on the basis of price, not quality. If you want the best, look for an Uncle Jed's retailer. Jed's softwoods are very good. But in the end, whatever you buy is going to go up in smoke.