We have a Kmart near us. We do not have a Walmart, but you can buy online at Walmart. When we need any expensive office supplies like printer ink, disks, etc., we always try Kmart or Walmart before we go to Office Max. Sometimes it helps, sometimes it does not.
I don't shop at Office Max at all. Sometimes I'll find that Staples does end up being cheaper when they run their sales/promos. In general, though, you're right. Kmart or Walmart is usually cheaper.
You can save even more money by ordering online with like Amazon and then having it shipped to you. Staples and such also have recycling programs where if you bring back an empty cartridge then you get a pretty good discount.
They offered me a $2 coupon for turning in my cartridge which is cool and all, but when I went to buy a new one, I noticed it was about $3 more than what Officemax was charging (at least, the price they had online). I'm happy to be recycling the cartridge itself, but I didn't really save anything.
The only time I spend at OfficeMax.com is when they have the 100% back in rewards promos. The products are way too expensive to buy any other time. They had a great printer paper deal on two cases the first time I made a purchase with them. They were expensive but I received all but 1 cent and taxes back (now I try to give the paper away to family since I have so much, lol). Those rewards were used to purchase more 100% rewards items and the only thing I pay are taxes. I have a ton of office supplies I didn't pay much for. I know some people resale the items, I just don't have time like that. Others donate them to schools if they end up with too many supplies. Other than that, I'll stick to Wal-Mart or Amazon.com. OfficeMax has a recycling program but my local store is about 40 minutes away and I haven't had any reason to visit that town lately.