I like mulberry farms, but coastal silk worm and great lakes hornworm are also good sources. http://www.elliotsbutterworms.com/ has good butterworms and rainbowmealworms on ebay has great prices for phoenix worms.
The problem is that these are live animals and in order to get them to you alive they need to be a minimum of 2 day shipping, so not really too cheap but still worth it and really probably cheaper than a pet store in the long run.
Yes they do sell a variety of worms. Additionally as your need for feeders increase, you may consider getting crickets online too. I just got 500 crickets from Ghann's cricket farm for around $26.00. Their crickets are very healthy with very little die off and for the same amount of crickets from my local pet store it would be over $50 not including time and gas to go get them.