From my own experience light bulb delivery is usually free from online stores because of the small size of the product and due to its low weight. This is very important factor because if you do get charged for delivery then the price will usually equal to the amount the light bulb costs and therefore doubling the price of the purchase.
If you wabt to get the cheapest light bulbs you have to look online. Amazon and eBay do the best deals because of the huge range of choice you get there. No matter what type of light bulb you need they will almost always have it in stock.
Visiting your local supermarket is a good option but nobody is really bothered to make the trip in this day and age when all you need to really do is turn on the computer click and mouse a few times and within a couple of days you get your light bulb. The only reason you might go to a shopping mall is if you have an shortage of bulbs and need it that very same day.
Google is a very good place to start your search as it usually lists the business that have their geographical location nearest to yours. This helps reduce the delivery time a lot, in some cases if you order in the morning then you can get your light bulb the very next day. However with the efficient modern postal services you can order from the other side of the country and can expect to get you product the next day.