unfortunately i can't get ammo shipped to me in illinois... i'm actually going to see if i can get deliveries schedules for weekends at the farm in WI so i can be there to recieve them, because buying retail ammo, particularly range ammo, adds up way to friggin fast.
so i've never ordered ammo, but i've ordered accessories from companies that sell ammo at a discount as well. three i'd recommend are:
three of the bigger ones that i'd bet most of the people on this board have dealt with. if you dig around a lot or watch the auction sites you can sometimes find better deals but on the whole the three of those will be able to sell your ammo and accessories competetively priced and in whatever volume you need.