When my current supply runs out, I plan on buying a bale as well. However, when I mentioned this to my mom (who lived on a ranch), she was full of tales of spontaneous combustion in hay. She tends to run on the doom and gloom side of life but I searched on the internet and found this article discussing how hay can spontaneously burst into flames. It's worth keeping in mind.
http://www.montana.edu/wwwpb/ag/hayfire.html
In particular, watch out for a "slight caramel odor or a distinct musty smell" which could indicate that your hay is overheating.