If your pets go through a lot of crickets, then ordering in bulk and keeping them for food or even breeding and raising them yourself is a good option.
Remember that what goes into the crickets goes into your pets. Therefore, keeping crickets at home for a bit before feeding them (or raising your own) has the tremendous advantage of allowing you to "gut load" them before giving them to your pet. This simply means feeding them nutritious foods, so the nutrition is passed on to your pet. You can by pre-packaged cricket foods as well as products specially fortified for gut loading, which are convenient but can be expensive. You can also feed them such things as tropical fish flakes, leafy greens (romaine, mustard greens, kale, collard greens), squash, sweet potatoes, carrots, oranges, apples, potatoes (peelings are fine), alfalfa, baby rice cereal, wheat germ, prepackaged reptile foods, dry cat food, etc. The fresh vegetables and fruits can be offered even if you are feeding a commercial cricket chow. If you are feeding a home made food mix, feed a wide variety of foods including fresh vegetables and fruits, and sprinkle the food with a reptile vitamin and calcium supplement.
You can mail order crickets in bulk (usually batches of 250 up to 1000), which should save a lot of money over repeated trips to the pet store to buy small quantities. Keep in mind that crickets will only live for a few weeks, and that if your pet needs smaller ones they might grow too big before you can use them all, so it is a good idea to carefully evaluate how many crickets you go through and order appropriately.
A few things to keep in mind though. Crickets do make noise and have a distinctive odor (not bad as long as colonies are kept clean) so you have to be willing to live with them. Escapes are almost inevitable, so you must also be prepared for that possibility (and they can be tricky to catch up to if they do escape). On a related note, if you live in an apartment, escapes may affect your neighbors too, and they won't likely be happy to share their home with your escaped crickets.
That said, it is very easy and economical to keep quantities of crickets, and also to breed and raise them. Getting them set up, especially for breeding, will take some time and effort, but once a colony is established, it is pretty easy to maintain. There are several good guides on raising and breeding crickets. As with many other husbandry issues, it seems everyone does things a little differently, so here are variety of guides to keeping crickets that provide information, hints and tips that would help you set up your own cricket rearing operation on whatever scale you need:
- Breeding and Raising Crickets - by Ian Hallett, a thorough description to setting up a breeding colony of crickets. Gives detailed descriptions of types of containers to use, and breeding/rearing steps.
- Housing and Feeding Invertebrate Prey - by Melissa Kaplan, a concise list of good feeding items for crickets and other prey insects.
- Keeping and Breeding Crickets - by Tricia Power, a guide to keeping crickets, and brief instructions on raising them.
- Dealing with Bugs - if you don't like handling insects, this is a great page with tips on minimizing the need to actually handle crickets when feeding your pet, from Frogland