The prices are so low because they don't have to keep a bunch of retail stores open, and the shipping cost does compensate for that in a way. But if you buy a lamp and ballast from them then it should still be cheaper than buying the same items locally. The more you buy at one time, the better the deal.
Also I've never had a 1000Bulbs order break in shipping, and I think they're good about replacing it if it does break. They ship lamps all the time so they know how to pack stuff to avoid damage.
So that's why big box stores are so expensive.