Fact is the vast majority of material comes from two major sources to the trade, Wapsi fly here in mountain home, the largest in the world and Hareline dubbin in OR.
Other companies may well offer material, odds are they would have originated from these two sources.
My advice to you is this.
You cannot produce good flies with crap materials, granted you may be able to source some useful material from craft stores, the rest you will have to deal with a fly shop or a mail order company.
These is a big difference say from a bead head thread bodied zebra midge to a hackled dry fly or a elk hair caddis or a woolly bugger which need good quality material.


Appreciate that other than synthetics raw feather and fur has to be dealt with, fumigated free of bugs, subject to many other processes such as dye baths and then sorted, selected and packaged, all of which cost money, so in many respects cheapest may not be the best option.

Make a list of the flies you wish to tie, and then a list of the materials needed for those flies, and go from there so far as source to obtain them.
May be join a local club that offers fly tying lessons, always a good starting point.

Davy

http://davywotton.com.
Fly Fishing Schools and guide services.