Rockauto, autoeverything, and even Amazon will usually cost less than your local stores. The down side is that you are not supporting your local economy, if that sort of thing matters to you. Sometimes Walmart is even competitive on pricing for oil and filters, but some folks refuse to spend money there.
Most parts promise OE quality, some even deliver and sometimes some are better. I've purchased the in house, or discount, version before and in the box was a name brand part, but I found that to be more common on parts for European vehicles than for Domestic.
There is a sticky thread on the performance forum about spark plug wires. You should give it a read before you purchase wires for your tuneup.
I have personal preferences on brands, but over the years, we've used all varieties of parts in our vehicles. For some the name brand parts lasted when the cheap parts failed, but for just as many the opposite was true. However, most of the time, you get comparable life and performance out of the parts.
In short, for a tuneup you should buy what brand of parts that you can afford. For oil, you should stick with a name brand (Mobil, Castrol and the like).