I buy almost all of my beads from CreativeWholesale.com (check the pony bead categories and the Beads, Craft Beads & Value Packs category). The beads are very good quality and inexpensive, but you have to buy a decent amount for the shipping charges ($10+) to be worth it.

If I do happen to buy beads from a store, I buy them from Michael's or Wal-Mart. But Wal-Mart's beads are much better quality than Michael's.