It depends on the type screws. If you're talking deck fasteners or house building building they have good ones and crummy ones.
Home Despot sheet metal and machine screws seem to be of the cheapest quality.
I'm surprised 2-packs and 5-packs are cheaper than a 100 piece box from McMaster-Carr.
If I ever have the forethought to need screws for something I'd get them from M-C because I can select exactly what I want and see the engineering drawings.
The main reason to use McMaster Carr is that they have a LOT of stuff available in one place. It's not too hard to spend $30 worth of your time finding $20 worth of widgets.
If anything threaded will work for your application, then Lowes or Home Depot or the local hardware store may be the place. Tractor Supply is another place to check. Not sure if Northern Tools or Harbor Freight sell screws or not.
If you heed a specific grade, your chances of finding it are much better at Mc-Carr.
For bolts, also consider Fastenal. Not sure if they handle small stuff, though. Also, Grainger.
If you use a large quantity over a long time, you can probably find it cheaper than McMaster Carr, possibly direct through the Manufacturer.
OMG only the most expensive hardware out there. They're pricey everywhere.
About 5 or 6 years ago standoffs went stratospheric everywhere at the same time. Easy to pay a dollar a piece. I quickly learned to change over to simple cylindrical open bore spacers.
Or, to change up the design to exclude the need entirely.
Now days I see small quantities and one-offs being 3D printed.
I'm assuming you're looking at the catalog price? If this is for work you should probably be requesting a quote through a commercial account, esp if you're looking to buy something in quantity. It often brings prices down significantly.
Personally I avoid the box stores unless I am desperate after-hours bc the quality is usually crap.
I agree with TheTick, M-M is great for prototyping. I see all the time they are used for production, then people can't figure out why the sizes vary. They have loose tol.
Find a reputable dealer, use maybe MIL spec (or similar) hardware.
One advantage of buying on mcmaster is that you have spec data information there (tensile strength, hardness etc). Also you can download the step model and include it into your CAD.
Because I can find it in 5 minutes and have it reliably delivered the same day. Then if I need it again latter I get the same thing or at least the same quality. Sometimes it is important that they take P.O.s. They also have a better selection of stainless fasteners.
Home Depot has a limited selection is hard to find and often mixed up. Amazon is impossible to find what you want in less than a half hour and then you never know what you will get or when.
Auto parts stores are a good alternative no one has mentioned yet (NAPA is best). You can at least ask for a grade 5 or grade 8.
MSC is an option that offers a bigger ranges of quality and name brands. So you can balance price and performance.
You can try requesting a quote from some McMaster Carr alternatives to negotiate pricing. Raptor Supplies offers McMaster Carr alternative and they accept quote requests as well.
Never know what you get from Amazon, most stuff is sold by individual sellers and more and more often items ship directly from China. Personally I had bad experience with Home Depot/Menards screws. Few years back general hired a new framing contractor to do interior steel on one of our project and halfway through the project bracing started to fail and to literally fall. Turned out heads were popping right off the screws. Apparently contractor bought them at one of the home improvement stores. Switched to a building materials supplier and all issues went away.
I should also add that many times Amazon sellers don't actually have the product they're selling so if time is an issue there is always risk when purchasing through Amazon.
