So far, I've found the best prices at the following places:
WeldingCity.com (they seem to have best prices on the collets, shields, torches etc and SS filler rod).
WeldFabulous.com (for AL filler rod)
BakersGas.com (for stick supplies, been dealing with this place for years).
Likewise, if you know of good sources for filler rod, please let me know... I'm getting kinda hooked on this TIG thing (still want to try MIG though).