Hay at pet stores in generally lower quality like LM or Hartz hay. The best place to purchase hay is
www.kmshayloft.com, though it is costly for some. I buy my hay from
www.bunnybale.com. Other places are
www.oxbow.com and
www.sweetmeadowfarm.com.
You can also try and purchase hay from feed stores that sell horse hay by the bale. These are generally of an acceptable quality, though you want to make sure it is good smelling, green, free of mold, and soft.