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I found Tea Tree oil at WalMart before.
I live right near a number of natural food stores, so that's usually where I buy oils. I have found tea tree oil at Target and I'm pretty sure they also carry lavender oil. Since you don't live near any shops that carry oils, online seems to be your best bet. It's frustrating to wait for stuff you've ordered to arrive, but at least there is that option. Are there any boutiques or gift stores near you that might sell oils? Sometimes stores will have them kind of hidden and not right out in the open like bigger merchandise.
That link looks like a good resource, Lonnie.
Hmm, online, at a vitamin store (they are expensive and narrow), or a health/organic food/product market.