I purchase styrene as well as polycarbonate sheets from Utrecht art supplies.
I got some from the local shop like Jen said. They did a full 4'x8' sheet of .060''. It was only $28 with it cut into 4 sheets of 2'x4'. They sell all over, and maybe you could contact them to have them ship, or see if they have suggestions/affiliates in your area.
http://www.regionalsupply.com
It appears to be more expensive online then local...but still at $35/sheet, it's still A LOT cheaper then a LHS.
They do sell the .020'' in a 2'x4' sheet for only $3.50 so that's cheap.