pattime is right. Wholesalesuppliesplus is the best way to go to avoid shipping, if you order $40 or more.
Otherwise you could check out the "free shipping" category at Essential Depot, but that really means shipping has been added in, so do a cart of what you want, then check to see what shipping will be to see if it is any better to buy regularly or from that "free shipping" category. They sometimes have a discount on shipping code at the top of a page if you are willing to wait a few days to get the order shipped.
Shop locally when you can, but not much is any cheaper. Generally just the carrier oils, like olive oil.
Have no idea if fragrance oils can be found locally, unless you are one of the few lucky ones that have a soap making supply shop. Essential oils can be found locally at places like health food stores, but are not cheaper.
Lye, if you are one of the very few places left, can be found at your local home improvement store. Most towns no longer carry it.
Colorants, you could experiment with natural colorants from a local health food store or grocery, ie. annatto seed makes a great color, you can grow calendula for petals when the temp is right or try indoors, and so on....
HTH.
If anyone finds any other alternatives, I'm going to be watching this thread too.
