Depends on where you live and how far you want to drive. There are lots of clubs in the metro area. The STL Brews http://www.stlbrews.org/forum/ GBS http://www.garagebrewers.com/ and STL HOPS http://stlhops.com/forum/viewforum.php?f=8 there are other clubs too. Jefferson County has a club too. I am partial to STL HOPS as thats the club I'm in. Meets at Perennial 2nd Tuesday of every month from 7 to 9pm.
Same with LHBS, used to be a huge buyer from Kent then his prices got a bit out of hand on base malts. Specialty wise I still shop there are prices on that are hard to beat. I now shop at Design 2 Brew in St Charles for my base malt. The have group buy pricing on full sacks of the most widely used and its closest to wholesale prices that I can find in the area.
Come to a meeting and check things out!!! Cheers!!