They usually run very good prices on 1 or 2 processors (i5's are $159, i7 920's are $199), sometimes a handful of motherboards as well, though if you were to price out a full system build from microcenter vs. newegg, newegg almost always wins due to no tax and free shipping on many items. Some people split the difference and buy the CPU from microcenter locally, and then order just about everything else on Newegg. It saves maybe $20-$30 for some configurations.
Otherwise, there's the simple convenience of being able to get replacements for any DOA parts right away, or if something breaks within the return period, you can get it replaced with no delays.