Picking up from a local coin shop, most of the time is ALWAYS the cheapest way to go (and you don't have to wait for your purchase). Apmex is a good site but like you said, shipping is pretty ridiculous and it can really kill a good deal unless you are buying serious weight. Here are a few that I really like.
Provident Metals - good prices (better than apmex) and cheap shipping. They hold a wide variety.
GeatSouthernCoins.com - decent prices, FREE shipping on orders over $100 I believe. Not the best selection.
ScottsdaleSilver.com - Private mint, sells bars, rounds, fractionals, etc. Free shipping on orders over $500 and for a high quality mint, premiums are not bad.
Good luck!