Farmers markets and CSA's are great, but there doesn't seem to be a local market for grains.
Where could a person go to purchase grains (for human consumption) besides the supermarket and online?
This really depends on the locale. For example in Seattle we have a couple of Washington State grain farms and mills that do sell their product at farmer's markets. If you have trouble tracking down a miller directly, you might do well to ask at your local natural foods co-op if they can source this or direct you to people who can help. Another place to ask would be at your best local artisanal bakeries, as they may well be using local flours.
Are you looking for grain or flours? If the latter, just track down your local mills (most farms don't mill their own flour). If the former, ask the millers or other farmers who nearby is growing grains. It might be an inconvenience to farmers to sell very small quantities, but then again, you'll be paying a premium on what they normally charge, so it's worth asking.
You may be interested in checking out shops that sell homebrewing (beer) supplies. A lot of the grains they have will be malted/kilned, but not all. This will mostly be useful if you are planning to mill the grains yourself.
You may not be able to find much strictly locally-sourced at a homebrew shop, but it might be a good starting point.
Around my parts, the only place I know to get bulk local grains is the feed auctions (for animal feed... not sure how it'd be for human consumption).
You might also see if there's a local health food co-op, as many of them sell bulk foods, and you might be able to get them to sell you whatever the unit is that they purchase in. (this won't necessarily be local, though).
Also, all supermarkets are different -- I remember being in one near the California Ave station near Stanford University, and they had a sort of grind-as-you-need-it dispensor for flour. (sort of like some of the ones that have a coffee grinder)