They can be found at Agway stores, or at a horse farm. If you don't have alot of pigs or pigs that don't eat alot of hay, I would get it by the few flakes at a time. It is easier to store than a full 45-100 pound bale of hay.
You could try using citysearch.com, and look up a feed store near you. There are many feed stores near my house, but i buy my hay from only one specific feed store because they sell very high quality hay and the others do not, and i have a lot of animals to feed...many rescue horses and cows.
My best advice is to get a list of feed stores and go visit them and check out the quality of the bales they are selling in person.
The supplies that Petco and Petsmart offer are all junk.
What I did and I have found it to be the best is,
One day I went for a drive with the piggies and my kids. We looked for farms and stopped and looked in the yellow pages for farmers that have organic produce. We stopped farm to farm 3 total. Not only did we find great organic greens and veggies and fruits, we found a AWESOME timothy hay that is 2nd and 3rd cut, and has forages in it, for 1.50 for a square 45lb bale. Now I picked it up myself, if he delivers it it's 3.00 per bale. He goes everywhere, and he said if you dont like it you dont have to pay for it. I go in his barn and pick what I want. He cuts fresh hay all the time. If anyone ever wanted to go in on a truck or something, we can get a great deal. I have given some to the Starfish To the Sea Rescue and Wheek Care Rescue, and they LOVED IT! So my suggestion is to check with local farmers, or go online and search timothy hay by the bale. You'll get all of the farmer department of arg. sites and it will list each farm and address, email and phone number. Along with the types of hay they have. I hope this post is helpful.