From your other post, it appears you want to load for your 20 gauge shotgun. Your best bet is to get a copy of Lyman's Shotshell reloading book and go from there. As High-Cap posted, you can get that and a good MEC press from Midway. You might be able to find a local source for powder, primers, wads and shot. Shot is expensive to ship because of the weight. If you order primers and powder, you also have to pay a hazmat fee on top of the shipping charges.
shotshells primers are one of the few things that are avalable in stores.
I'd also look at graf and Sons. Their prices seems to be cheaper, though I don't think they ship things as nicely or as quickly. Their website isn't as nice, either (you won't know when things are going to be avalable.)