Did you know you can roast your own coffee? The reason for doing this is that the coffee is fresher and has flavor complexities you don't get any other way. Even whole beans that you grind yourself lose noticeable flavor in just three days. Bagged coffee from the grocery store never has a chance, even if you buy whole beans and grind them yourself.
Green coffee, however, lasts many, many months. All the interesting flavor happens when you roast. Roasting your own is also quite a lot cheaper than the premium brands of roasted beans from the store.
The disadvantages are that you have to roast every 3-4 days and if you try a dark roast, it sets off the smoke alarm! I found a vented place in the house where it's no longer an issue. Some people do it outdoors, in the garage, or on the stovetop, under the ventilation hood.
There are several models of roasters appropriate for home use. I have only used one, the FreshRoast 8 from FreshBeans. This unit works fine. It's noisy but apparently the others are much noisier! It seems to get the best reviews with the only major complaint that it makes small batches but it's adequate for my use. One batch makes enough for two days, at 2-3 cups of coffee per day.
Some people use hot-air popcorn poppers to roast coffee. I tried that. many years ago, with dubious success but there are plenty of websites that describe how to outfit a popper -- search for "roast coffee popcorn popper." You can also use the oven or outdoor grill.
You can buy the roaster and beans from a number of online sources. The one I recommend is Sweet Maria's. Their prices are good, they have lots of very good information, and their service is excellent. The best deal is the roaster with an 8-Pack Sampler of green coffee, with 4 lbs. of coffee (8 different types, 1/2 lb. of each), for $80. It's $70 without the coffee. They ship immediately.
The least expensive source is the manufacturer: Fresh Beans, which sells the machine for $60 with a pound of beans. This is also the place to go if you need parts (i.e. if you drop any of the pieces).
I also used Williams Brewing. (They also sell home brewing supplies for beer, which is why I knew about them). They have a similar starter kit.
Another source is morebeer.com, a homebrew place, but they sell roasting supplies too. I have not tried them but they were recommended by a source I trust.
Green beans are generally about half the cost of roasted beans. They keep for a year, so you can vuy in quantity. They are available from the above sources and you can also get them locally — ask at any coffeehouse that roasts its own.
More (Lots More) Information...
Want lots more really excellent info? See the Coffee Kid, especially his Home Roasting Primer.