Asian stores when I can. It's always the cheapest.
Failing that, I look for the cheapest I can find in any supermarket. I once got some in Costco, actually, I think that was the last one which I'm still working through. It's a bit cheaper that way, but hands down cheapest is in asian food stores. Just have to make sure it's not "cooking" oil and it's pure. It doesn't need to be organic, that's mostly just marketing.
When in Tesco and the like, make sure you don't just look in the oils isle. Go down the world food isle too, they nearly always have it cheaper there.
I always avoid getting it in H&B or health stores as it's really overpriced there.