Local coal merchant would be your best bet I would think. Do you live in a smokeless zone? If so that's going to limit what's available locally I suspect. We're outwith Belfast's smokeless zone and can buy different grades of coal, turf and logs in pretty much any service station and there are a good few coal merchants dotted around too. Go into the city though and it's noticeably different with just the smokeless coal and briquettes for sale.
Getting a decent sized delivery from a merchant would be your best option for quality and economy I suspect.