We have never done a wooden privacy fence but we did build a 4' wooden fence at our previous house. We got the pickets and all of the supplies at Home Depot. We are getting ready to do a privacy fence at our current house this spring and I am planning on getting the pickets and supplies at Lowe's this time. If you go to either store's website and type in "wood fence picket", it should show you what they have in stock. I have priced the fence for our yard, which is less than 1/4 acre, to be about $900.
ETA: The process wasn't that bad. Besides being the "2nd man" on the two man post hole auger.... I think we finished the fence in about 4 days. We had about 2/3 of an acre to fence.