Winnipeg Reptiles is much cheaper than the chain pet stores that are around. He has a good selection too, just make sure you call to verify he has stock in before you go.
I've had bad expreiences with bugorder both times I used them. I highly recommend www.supercricket.ca, they are $31.99 + shipping for 1000 worms which comes to roughly $0.03 per worm. I buy mine locally because they are not my main feeder and I pay $ 9.97 for 100 so I pay about $0.10 per worm.