I tried batteryjunction.com and was very pleased with the service and prices. There are different brands available but Maxell usually is the cheapest. You will never go back to buying batteries at Walmart. - David Lyga
Buying batteries in retail stores really is very expensive over here as well, 3v lithiums for example cost roughly double or more than what you'd have to pay in an online store.
But if you need them right now, there's no way around it.
Good thing I almost always use mechanical cameras.