I've built equipment mostly from local steel. Stuff I can't find locally is from onlinemetals.com. They are good at small orders. However, for bigger things that weigh over a hundred pounds, local is better. Also some of these might just have big drops they can't find a use for.
SB Specialty Metals
Cincinnati Tool Steel co
Update: Metal Supermarkets has distributors all over. There's one 5 miles from my house, and I can order anything and have Zero Shipping Costs, as long as I pick it up myself.