I think where you decide to get your hay from depends on a few things,
Can you afford to buy in bulk- as this will help with delivery costs and value for money.
But to buy in bulk, where could you have it delivered to, are you at home during the day for delivery or would it need delivering to work, if delivered to work how can you get it home.
If you have a car that is parked close to your work then this is no problem but if you park a good walk away or catch public transport then a big bulk order isn't appropriate.
I bought my last lot of Hay from Pets at home, 2 kilos of timothy hay for £8. Sounds expensive but if i ordered this from online then i would have to add £4 delivery on top of that. Also i am at work in the week so it would have to be delivered to work, then i would have to get it home which is a bit awkward on the bus. Saturday deliverys are usually more expensive and i'm not often in all day on a saturday.
So it very much depends on your circumstances as to where it will be best to buy your hay from!