I wouldn't say always. I find shipping rodents from a rodent supplier is normally cheaper than buying from a breeder. At least in my area. If you count in gas and time, it is quite a bit more expensive than buying online.
Well, I can't speak for all rodent breeders, but if a breeder is being competative, and selling to snake breeders and pet shops, he has to sell cheaper than rodentpro or micedirect, or they would just buy from such said sites....
Just sayin.