You don't have to travel far to buy drywall and if you don't have any problems with shopping online, you don't have to travel at all. Drywall is so common that even if you live in a remote area, you're bound to find someone in your area that carries it (or can get it for you). Here are some places to look:
Local Home Improvement Centers
The two big chains for home improvement centers are Home Depot and Lowe's. You can buy drywall from either one of those stores. Compare prices first before making a final purchase. Check online, but also call the store itself to see what they have on hand and to confirm prices. If you find something on their respective websites that's not carried in the store, you can order it online and have it shipped to the store. The benefit of going to one or both stores is that you can ask questions if you get stuck and need help. Also, they conduct workshops on a number of home improvement projects, and one might be on installing or finishing drywall. If you live in a rural or remote area, Home Depot or Lowe's might be your best option; the local farm store or hardware store may not carry any, or might not have what you need.
Builder's Supply Stores
You can also buy drywall at a builder's supply store. This may be a better option if you have to find other items for your DIY project that's more specialized. The workers are often experts in various aspects of building, and could be a resource for helping you problem solve issues or answer questions. The only problem is that you may not be able to buy small amounts. That depends on the store. Call first to find out if you have to buy in bulk only.
There are many stores online that sell drywall and can deliver it to your door. This saves you the hassle of traffic or traveling to a nearby city or town to get what you need.
You would be surprised (or not) what you can find on www.craigslist.com. Contractors, builders or people who never got a chance to do "that" project, sell building materials to others. There's no fee to post ads, and therefore people try to sell all kinds of building supplies. They don't worry whether or not it will actually sell because the ad is free. That means you have to be on the lookout for deals. Check weekly or daily for ads, depending on how far out you plan to start the project. Do a search for "drywall" and see what happens.
Try to find the best deals possible when you buy drywall. You'll need the extra money to work on primer, paint and tools to make the drywall finish look great.