What is the best place to buy basement remodeling materials?

I am in the planning phase of finishing our basement, and wondered where the best place was to buy materials and supplies. I'm asking more about drywall, lumber, screws, etc. since this will be the most expensive part of the first phase. Are the Big Box stores (Lowes, Home Depot, etc.) the most cost effective choice, or is there a more cost effective alternative?
The first poster brought up an interesting point. I'm located in the Kansas City area, so local options would be the best solution.

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