As an insulin user myself (for me, not my cats), I have to tell you that it is not cheap. If you can get the veterinarian to write you a prescription, you might try any drug store.
In fact, you might ask a drug store what they charge for how much you are using per month. That will give you a comparison point.
If it is a Human insulin such as Lantus or Levimir, you can buy it from any Human pharmacy with a prescription. Lantus and Levimir are available in pen form which many people find more cost effective than the 10 ml bottle. A pack contains five 3 ml pens which is at least a 5 month supply. A 10 ml bottle might "poop out" in as little as a month.
Online pet pharmacies often sell pet specific insulins such as ProZinc that may cost less than what the vet charges. Try 1800Petmeds.com and DrsFosterandSmith.com
Insulin syringes can be bought online inexpensively, depending on the brand. Just be sure to buy the correct type for the insulin your are using: U100 for U100 insulin or U40 for U40 (pet) insulins.
For additional tips on how to buy insulin for the best price and general care tips for a diabetic cat, visit the FelineDiabetes.com message board