Really, I only shop at three places. I get the vast majority of my stuff at
Newegg. They are cheap, have exceptionally fast service, and are 100% reliable. If you shop right at Newegg, you can get away without playing shipping.
For weird cases and whatnot,
Directron's got the biggest selection. Their parts are sometimes pricy, but they have a really good selection.
Finally, for cooling, cabling, and lighting,
SVC is, hands down, one of the best sites out there. Their prices are excellent, they are VERY GOOD about shipping (best rates I've seen online), and they have a pretty cool selection. There was a week or so that my roommate and I ordered from SVC every night. They are awesome.