www.sweetmarias.com for the win! $20 will get you an air popper and then you're up and running to roasting your own. I roast every Sunday and it's been great!
I try to support local B&M's when I can, but I have to second thejavaman's recommendation for Intelligentsia Coffee. I stopped by their shop in Chicago, and they are SERIOUS about their coffee (coming from someone that recognizes people that are serious about their coffee).
I've always been a big fan of Kicking Horse coffee co's "Kick Ass" dark roast. Fantastic coffee and the fair trade makes it a bit more guilt free! To be honest, I haven't had a bad roast by them, but that is my fav. With a name like that, what is not to love? This coffee is one for the espresso maker or the French press. Don't waste those sweet sweet oils!