Here in Southwest VA, with our 150 day growing season, grass hay is $3-4 small square bale, anywhere from a 30lb bale really dry and loose, to a 80lb bale packed really dense. I buy or trade from friends and neighbors, so I can't be too picky.
Square alfalfa is $6-9 bale.
For a 4x4 round bale $25-$30, 4x5, $30-$40, 5x5 $40-$60. All these prices go up for fertilized, sprayed (fewer noxious weeds), alfalfa/clover/timothy/orchardgrass mixed in, nutrient tested, delivery etc.
I have a feeling prices must really vary around the country!