Well in St. Charles there's a full-on reloading store - Full Circle Reloading and Firearms. It's not a huge place but they do have quite a bit in there. More than anywhere else in the area for sure.

Denny Dennis in Fenton stocks Hornady bullets (probably a couple more brands too), powder, and primers.

Dunn's in Pevely stocks Hornady, Sierra, and Missouri Bullet Company bullets (probably a couple more brands too), powder, and primers.

There is a Bass Pro in St. Charles and in Sunset Hills. The Sunset Hills location does better on reloading. There is also a Cabela's in Hazelwood that sells some reloading stuff.

Full Circle is hands down the best for selection.

Reloading was the store focus when Mike Graf owned the shop.  It has diversified a little.

The prices are still under control unlike other places, but they have crept up since the sale.

Full Circle is a couple of blocks North of Bass Pro, on the west side of the street.  Park in back.