I agree with both gbhunter and phatch. Which is to say: you can get perfectly usable peppercorns at the supermarket, AND you can get really excellent ones from both those online sources. The only peppercorns I'd advise against are the ones that come from discount gift stores -- you have no idea how old they are and if they are still potent at all.
Whether you want to get supermarket or specialty peppercorns depends on your palate and the tastes of the people you cook for, and whether you want to use the freshly ground pepper in everyday cooking or as a garnish. (Pretty much the same as salt: you might use kosher or table salt for basic cooking, but sea salt as a finishing garnish.) Once you start using the mill, you'll find that the flavor of even supermarket peppercorns, when freshly ground, is vastly superior to preground pepper. So start there, and maybe get small quantities of the "fancier" ones. It's easy enough to empty the mill and put in a different type, so you could try a variety if you want to.
"Notorious stickler" -- The New York Times, January 4, 2004