I use pcpartpicker.com it compares the prices of many different stores. Some specific stores I buy parts from are newegg, NCIX, SuperBiz, B&H, OutletPC, and amazon to name a few.
If you are looking for like a department store that you can go to and buy parts in person look for a micro center or a fry's electronics. However they are only in certain parts of the country, I live in New England and we only have bestbuy which isn't the best when it comes to computer parts.
http://pcpartpicker.com/