I was in the hardware dept. at my local Ace Hardware yesterday, and I was surprised to see they had not one, but 4 drawers full of various blued steel gun screws! Every type and length imaginable. Every oddball thread size, and type of head you could think of. Honestly, it was the biggest assortment I've ever seen anywhere.
Each drawer had several sets of tweezers to fish them out. They even had plates with various thread sizes drilled and tapped into them, all stamped with the thread size, so you could check to make sure you got the right one. I never saw anything like this at Lowe's or Home Depot. And both of them have large hardware depts.
I don't know if every Ace has these, but it's good to know if you ever need screws to mount a scope, or else lose one doing a home gunsmith project. And it's sure a lot cheaper than buying one of those expensive sets from Brownell's, that you'll never end up using 95% of them.