I rebuilt a 95 KDX soup to nuts, and used a local bearing store (a pretty good one) every time I needed a bearing...
In general, the local bearing shop was 1/2 to 1/4 the price of the Kawasaki price.
Maybe 15% of the time, the local bearing shop simply did not have the bearing I needed.
Maybe 5% of the time, the local bearing shop quoted a price 2x to 3x the Kawasaki price.
The "aftermarket kits" for suspension rebuilds (pivot works, all balls) were maybe 10% higher then the bearing house prices.
The local bearing houses didn't have all the spacers, pins, etc, that you sometimes need to replace along with the bearings.
So for me, if it's just a single bearing, I look up the Kawasaki price first, then run to the bearing shop, and generally buy it there.
If it is a total rebuild (i.e. linkage), I just go to the big mail order houses and order the "rebuild kit". Same for rebuilding the forks or rear shock. It's nice knowing I get all the right parts all at once in the bag, and that I can get them before I take anything apart.
If that fails, I order the Kawasaki parts.
YMMV. :)