I guess this is another reason to load your own ammunition!
I used to live in Illinois and now live in Michigan. The anti-gun environment in Illinois was incredibly painful for me. You can't buy ammunition, gun powder, primers, pistols, rifles, shotguns, etc. without a firearm owners identification card. And forget about ever obtaining a concealed carry permit.
Now that I live in Michigan, I love it. I can walk into any place that sells ammo and buy it. Same goes for primers, powder, etc. And now that I have a concealed carry permit, I can purchase anything (except full auto) that I want. Crime here is nowhere near what it was in Illinois, and there are far fewer police officers. Go figure!