Depends on what you're after.
If you're looking for big fishy bait for pike then your best bet is T&T or Superstore. The Billingsgate seafood place on Calgary Trail has some good stuff sometimes too, but it can be a little pricey.
As for regular bait...worms, smelts, minnows etc. you've got TFH, WSS, and Cabelas as the obvious choices. I'm also aware of a Mohawk on 66st around 33ave that carries bait, a Husky on 82st a few blocks North of the Yellowhead, and in Fort Sask there's a Husky downtown that has bait. Oh, and I think a FasGas on Stony Plain Rd heading West out of town.
All the gas stations will probably be fairly similar in price to TFH, but may be a bit more convenient. For fishy stuff the grocery stores will be cheapest. All in all not a whole lot to be had for deals, but if you go to TFH at least you can get a bait card, and once it's full you get $5 back towards your next purchase. Every little bit helps
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Jay: Mostly harmless...
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