Stonewall Creek Outfitters is a place I call sometimes. Good folks.
There are lots of small shops, some even exist without the web.
Also, if a shop doesn't have what you want (despite listing it), be careful ordering and paying ahead of time. Some do this and it's no good practice for either party. I didn't name names but there's one you'll hear about. But it's your money and time, caveat emptor.
As for crappy sandpaper. Ace Hardware came to my tiny village a few years back, and I quickly started getting stuff there as most of their goods are adequate. But then they sold their sandpaper contract to the Gorilla co. The first generation of that stuff was horrible as you couldn't fold the wet/dry without compromising the paper. They finally worked that out. But bad sandpaper is a crime in itself.
I don't use it for wood much, but mostly for polishing metal. And other projects non-traditional.