90% of the time ----> Newegg.com It all depends on what it is. Combo deals are hard to beat.
9% of the time -----> Buy.com Mainly for cases and PSU's though. Buy.com regularly beats Newegg on price on Cases and PSU's.
1% of the time -----> Ewiz.com/MWave.com/Zipzoomfly.com Depends if they have good deals or not.
That's about it for me too. Even though I have to pay government extortion on newegg purchases (they have a warehouse in my state), it is hard to beat their delivery times and customer service.
I've also bought cases from buy.com.
Somewhere in that 1% are Microcenter.com (got my Q9450 there for $306 delivered) and geeks.com.
A site I check for deals (may even refer back to newegg!) is www.slickdeals.net.
And they usually only have one item per day, but woot.com is a must-check.