I started off using Generic brand pellets from the outfit where I bought my pellet smoker (they gave me 100 lbs. with the purchase of the smoker). I didn't get much flavor from them and they seemed to have a lot of dust.
I also have not found a local store that sells pellets, so I have to order on-line.
I did some research, and Lumber Jack and BBQ Delights seemed to be popular. I ordered some Lumber Jack 20 & 40 lb bags through Amazon and have liked them very much. I get a good flavor, not a lot of ash and they seem to last. I bought 20 & 40 lb sacks of 100% Hickory, 100% Cherry and 30% Mesquite (70 % Red Oak). Lumber Jack has mixes and 100% flavors, and sells individual bags, or pallets as someone mentioned. Lumber Jack will sell a full pallet (100 bags) or a half pallet (50 bags) order.
I was thinking of trying some BBQ Delight on my next order - but SmokinGrk said he has them against Lumber Jack and did not notice much of a difference, so I'll probably stick with LumberJack unless I hear of another that is better.
I store mine outdoors (on the patio under the roof) in good plastic tubs and have not notices any deterioration from moisture absorption over 2 months so far. This time of year is our Monsoon season where we get humidity and some rain, so it is a reasonable test - but not as humid as other parts of the country.