Actually feed store hay is likely to be good quality. I buy my timothy from a feed store. It's compressed Standlee timothy that is trucked in from Idaho I think. I like it because it's compressed so the bales are smaller and easier to store, it's usually good quality, and if there are any problems with the hay I can return it to the store.
The problem that can be encountered from buying hay from a farm, is that quality can vary tremendously, and you really have to be fairly experienced at knowing what to look for in hay. After years of buying hay for horses and rabbits, I think I'm pretty experienced, and even then I have managed to end up with some pretty crappy 'horse quality hay', because people have different definitions of what they believe horse quality hay to be. And I am actually pickier about the quality of my rabbits hay than I was about my horse hay(and I was pretty particular about my horse hay). The reason is that rabbits are much more susceptible to severe illness from bad hay, so I'm very picky about the hay my rabbits get and ensuring that it doesn't have mold. Buying from a feed store, usually they tend to primarily only stock good hay. The benefit from buying from a feed/tractor supply store, is that if the hay happens to be bad or has too many weeds in it, you can usually return it to the store and get a new bale. Usually when buying from a farmer, that may not be a possibility. I pay more getting my hay from a feed store, but it's worth it to me to not have to go through the hassle of trying to find decent hay at a farm. You can get good quality hay from a farm, if you know what to look for, and I would also recommend always opening up a bale at the farm so you can see that the inside of the bale is good before you buy any more. It also helps if you can then always buy your hay from this one source once you have found it.
Most important thing to ensure when buying hay, is to absolutely ensure that the hay has never been wet. And even then that's not fail safe as sometimes hay will be bailed when it is damp from morning dew, and this can cause some mold and the hay to go bad. I've bought hay like this before, where it is fine on the outside and then you open it up and it looks slightly off(dull colored and a bit whitish) and smells sour. It's also good to make sure the hay has minimal to zero weeds in it, as some weeds can even be harmful.
Maybe I'm too picky, but finding good hay can be one of the trickier parts of bunny ownership.