Newegg generally has all-around great prices. Amazon is sometimes the better place to buy a few components (namely cases) since they offer free shipping on almost anything, and the cases will be the same price as on Newegg.
There is lots of sites but u cannot trust all of them. Newegg is great +1 on that.
Do your homework on the sites, before u buy. Ask here on Tom's forum.
There is a lot of places out there with Hot Deals, my favorite in last months is How To Shop Smart Hot Offers, since was lucky few times, especially with some PC equipment, prices was silly, shipping was free...