I got mine from Amazon, although if I did it today I might go with BestBuy, since one can then pick it up locally. Didn't get insurance (pretty careful with my devices).
If you want to ensure that you get all the services available, have the ability to finance it (with a payment plan), and get the other advantages of buying through a carrier, Sprint is now carrying the KeyOne. I'm certain they'd be happy to have you.
Again, I hope that helps.