(I may have gone through a Holiday Lighting synced to music over the radio phase at one point)
Buying online from HomeDepot and Lowes will get you the best price. Make sure you get LED's if you are doing A LOT of lights. You can string more LEDs together, they create less heat and the power costs are lower. You may pay more... but you'll save the money on your power bill over the years. (my wife was a little shocked by our power bill when I first put up our light display)