Jameco sells 4-40 (and other size) screws (including thumbscrews) 100+ for .018 cents each. Even cheaper for 1000+ (check other part numbers). That's just slightly higher than DigiKey per 100, but the shipping might be cheaper. Part # 40970.
They also sell "hardware assortment" bags, which seem reasonably priced for those who need to restock Screws, Nuts, Washers, and Lock Washers in sizes 2-56 through 8-32. Part # 171571 for 1lb (approx 500 pcs) or Part # 171635 for 3lb (approx 1400 pcs).