I read somewhere here on 3FC that sometimes Mexican grocery stores carry chia seeds with the spices (the little flat bags) and kept my eyes peeled. I eventually found them at a Cardenas for something like 69 cents. I've also seen them at Whole Foods in canisters (for some reason they don't have them in bulk here), but sometimes spending $20 at once on them was a little steep (although you obviously get more than the little 69 cent bags, lol). I haven't done anything with them yet except to mix them in my smoothies. Oh, and I did add them once to my cranberry juice, not bad! I'll have to check out the recipes for the pudding.
I've been able to find ground flax at Trader Joe's pretty cheap, and I've even found it at Walmart in the baking/flour section. I keep the bag refrigerated after opening.
I've yet to try cocoa nibs but have read about some of the benefits. I've been wanting to pick some up.