Walmart for most fluids, although I get coolant from the dealer. Other parts I generally shop around. Rock, Amazon, Ebay, or stores which are dealer fronts. Whoever has the right part at the right cost (including shipping). As always, it pays to shop around. To an extent, sometimes it's not worth saving a buck or two (I generally don't chase rebates).
I do use Advance as needed, if I need it today or if I think the quality is good enough for what I want.