A chef friend of mine turned me onto a pretty nice online resource for ordering spices. The place is called Penzey spices. They sell in small and bulk quantities. I've found since I've been making more and more rub recipes, the small jars of paprika, chile powder, etc... that you get in the stores don't go too far.
Check it out: www.penzeys.com
The prices seem very reasonable and free shipping is nice too!