Have you been to all these places yet?
Chances are, the price per actual board foot will be lower at these than and Home Depot, Lowe's, or Medards.
And even if you choose to go with construction grade lumber, a real lumber yard will have better quality stuff. If you really can't find a local yard to sell smaller quantities, try http://www.bellforestproducts.com/
for mail-order lumber. Beware of shipping costs - wood is heavy!
Awesome bench, by the way. Looks solid as stone!
Check craigslist too. You need to be careful with what you buy--we need a woodtalk wiki on uncle cletus--but i was just selling a crap ton of good lumber for 50% of retail value. It happens. In my case, I purchased a few thousand bdft at auction and needed to dump it fast for a profit. Maybe need to redefine "fast" as it took me 3 months to sell it all, i think. Still, i was selling FAS kiln dried material for great prices.
Brandon nailed it, a lumberyard should murder the big box store's price on material. I cant remember the last time I was looking at lumber in a lowes, but i think their S4S red oak boards were like $50+ a board? Yikes.
Everyone has given good advise, but maybe you should check out Woodfinder.com. If you want to use construction lumber, buy 2x8 or 2x10's. Ripping these down to the size you need tend to be a bit more stable. A lot of big box stores don't have a variety of hardwoods. The ones by me offer poplar, red oak and sometimes you can find maple, but it will still be cheaper to find a dealer, even if you have to pay extra to have it milled properly.