I've seen quite a few fastenal stores around, but never stopped in.... Do you have to wheel and deal there? because I just checked their online prices against HD and Fastenal is like 4 times the cost on all the nails I checked. Even the same brand.
If I could get them at half price what the lumber yard or hd charge I would buy a pallet.The problem is the weight makes it a hard deal to ship and still be competitive. Framing nails weigh around nine pounds per thousand, so unless you are buying like a pallet of them, there's not going to be anyone who can discount them cheap enough to overcome the cost of shipping them.