I order from Kleenmama, too, and even with the shipping costing more than the hay, it's less than at the local stores. If you go to the different product sites such as Oxbow and Mazuri, they often list local distributors so you know where to find the products.
You can also check for feed and grain stores such as Blue Seal Feeds, Agway and Tractor Supply Company, and see which arein your area. If you call them, they can tell you what brands they carry. Our Tractor Supply Company doesn't sell Oxbow, but Blue Seal Feeds does. Agway doesn't as they sell their own brand of products. I think TSC sells Kaytee, but I'm not sure.
If you live near a rural area, you can check for farmers that sell hay, and possibly get a bale for very little. You can also talk to Blue Seal Feeds about buying in bulk, but I didn't find it was any less at our's.