The popularity of Lego means that it's rarely very cheap but, equally, there's usually plenty of it advertised in local 'free ads' papers, such as 'Loot'.
Try a search here:
http://www.loot.com/
Click on 'Select a category' > 'Toys & Games' > 'All'
Enter 'Lego' as your search term.
Leave the postcode blank if you want to see all listings or enter it to check if there's anything in your area. (The 'Loot' website, unsurprisingly, tends to find most results in those areas where 'Loot' is published).
Otherwise do what nearly everyone else does and read your local freeads paper (without buying it!) in your nearest big supermarket (where they're not as fussy about such things as newsagents tend to be!). If you find lots of Lego listed you can buy the paper; if not, it won't have cost you anything ;-)
Chris