You probably don't want a spool, unless it is in an easy payout box. Worthington has a nice selection of easy payout boxes of 500' and 1000' wire. I tried to get some locally from System Depot and/or ADI and they are both closed on Saturdays and require I open a full business account (they won't do cash counter sales). Martin, you need more selection in your bigger warehouse!
Cat5e & RG6QS was a good price at my local Home Depot, as long as you liked the one color they had. But their prices are high for 22/2 and it comes on plain spools, which is messier to pull.
Find out where the pros in your area buy from. Several of the wholesalers or distributors will sell directly to you. I found a place local where I got my 22/2 and 22/4 and it was less expensive then some of the pros pay - maybe I just got lucky?
And yes, you definitely want a pull-box, not a spool or shrink wrap. Many of the cheap stuff comes shrink wrapped which is an absolute nightmare.
I've found that if you shop around for Cat-5E, you can get some good deals but they are usually one shot. You buy today from company X, and then go back two weeks later, and Company X is no longer the cheapest. As someone mentioned earlier, you also are limited on color choices, if you have any choice at all. AFter all was said and done, it was easier to just get everything from one dealer.
there's a local electrical supply house (cash and carry electrical supply) that I get most everything from. we do a good deal of business with them, so we get a substantial discount on everything. I do cat5 from HD though, usually its going in a wall, so the color is of little importance to me, and the price is no worse than anywhere else.
I've purchased my RG6, in-wall speaker wire and some connectors from www.parts-express.com. I've also purchased some connectors from AutomatedOutlet. I use CAT 5e for all my data/telco/alarm/intercom, using leftover partially used boxes from large installations where I work (free).