The best and most economical solution is to buy lumber in the rough and dimension it to what you need. Unfortunately if you don't have a complete woodworking shop that's just not possible.
Today I was at my local Home Depot store buying supplies for a toy box I'm building and I ran across this display. This might just be a special that my local store is running but I wanted to pass it along so you can check your store. They have a big box of 1/2" thick Poplar and Red Oak. The boards are 1/2" X 5-1/2" X 24" for $1.98 and $2.88 each. I am not a big fan of either species but both are okay for many projects.
I passed on the poplar but I did buy five of the Red Oak boards. I usually buy most of my lumber in the rough but at this price I can save all the labor of re-sawing and planning.
Most Home Depot stores carry a small selection of what they call "hobby boards". They have 1/4", 1/2" and 3/4" thick boards but they are pretty expensive. If you have no other sources it's not too bad since most scroll saw projects don't require too much wood anyway. This sale make it much easier to swallow buying project ready boards. Check out your store. I would be interested to hear if anyone else runs into this deal.
DVD and the 2013 update DVD at this link. DVD #1 is $20 and contains over 1,100 patterns. The 2013 update DVD is $7.50 and has another 178 patterns.