My first pen kits came from Lee Valley, since I've bought woodworking items from them for years. I've bought from exoticblanks.com, also from Smitty (who you will see posting here a lot), and I'm going to give timberbits.com in Australia a try, since they have decent prices, and shipping to US is $12, well worth it considering their low prices (and they offer free shipping if order is over $200).
I used to buy some pens at Woodcraft, but their prices are to high. Pretty much the same story for Rockler, in my opinion. I'm trying to spread my orders around, and give everyone a shot at my business if possible. I haven't had a bad ordering experience from anyone.
I have also ordered pen blanks from IAP members posting here, and these are by far the best deals I've found (and great blanks, too!).