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There's been some great suggestions for places to look here.
But my personal experience has been that it's tough to by 1 or just a couple of something from Fastenall, but they will sell you the box of 75. You may pay a bit more from the local small hardware stores, but they'll usually help you find exactly what you need (possibly even lend you a thread gauge, if they're real nice) or at the least are easier to return stuff to. Of course like others have said, as long as it's not too unusual you should be able to find it at a Menards/ Lowes/ Home Depot.