One of the best seasonal sale items available in my local stores is Gold Medal flour. Five pounds for $1.49 and they have a very nice bread flour.
The first thing I do when I bring home grains and flour intended for long term storage is treat the bags for insects by putting the bags in the freezer for 72 hours. This kills off any eggs that may be hidden either in the product or in the folds of the bag.
Now it can be stored in the pantry, but not without being placed in a protective container. I think that metal tins are the best. You can pick up holiday themed, empty popcorn tins at thrift stores for a good price this time of the year. Plastic bins may keep out insects, but any self respecting rodent can chew through plastic in no time.
Another good option are large glass jars. These can also be found at thrift stores or if you ask at your local restaurant they may be willing to save some for you. This is also a good source for five gallon buckets with lids.
If you are meticulous about treating and properly storing flour and grains insects should not be a problem for you.