When I have the time, i do the tour: 2-3 HD's, 1-3 Rona's, and Lowes. Selection and pricing vary enough, and they are all close enough.
I almost went the build-your-own route. I found some relays, but they were quite expensive. I'm no electrician, so maybe I was looking at the wrong stuff, but pretty sure it was the right thing. The power-bar thingy I got at HD was cheaper than the relays I was looking at.