You seem to be confusing hay and straw in your question. When you talk to suppliers/farmers it is important you ask for straw.
I would go to the
local feed stores and see what the quality of the bales is like and find out prices and delivery fees. Then go and talk to grain farmers about buying direct. Don't forget to figure in the cost of trucking. When discussing price with farmers you
should tell them you want tight bales - also you can talk to them about doing some half bales etc. Buying direct may or may not get you lower prices - hopefully it would get you better quality. One of the nice things about buying from a feed store is you can inspect the bales before they are delivered.
So it is possibly cheaper (but not necessarily) to buy direct from the farmer. This is probably not simpler unless you live where a lot of wheat, barley, etc. is grown.