It would definitely save. How do you think the bulk online sellers receive their product? By pallet from the manufacturer. Then they mark it up, charge shipping cost and ship to the customer.
You go to a retail store, like Walmart or Academy, they get it from the manufacturer by the pallet at their distribution centers. They break down the pallets, build new pallets with the right variety for each store, ship to the store, then the store sells to the customer. Their markup counts in shipping, processing, receiving, stocking, plus some profit.
You order a pallet or two straight to you, in theory you get dealer cost. The problem is will Federal, or Winchester or Remington be willing to ship a variety pallet? Or will you only get that pricing if you order a whole pallet of 165gr .40S&W FMJ? That, I don't know.
For the record, if we can do this, I prefer Federal. Especially if we're including primers.