Surprised nobody has mentioned Trader Joe's. They don't roast coffee on the premises, but there is a great selection of whole bean dark roast coffee, not to mention wine, cheese, imported goodies, mixed nuts (better than what you'd get in First Class, if your airline of choice still gives nuts)

No internet ordering available, but if you have a store in your area, plan to spend a good hour looking around at good stuff.

I was surprised to find they have opened a location in NYC, so folks out there can now enjoy.