Jenson USA is very good, I've used them many times.
Price Point is good but read their return policy BEFORE you buy so you understand if you need to return an item.
Nashbar is also very good, but if you have to exchange something you have to pay for the shipping both ways.
Niagara Cycles has also been very good and they carry some things other places don't carry like Nitto.
Performance is also another good place to get stuff.
Amazon is great as well, but most parts they have listed as the lowest price will come from one of those places I mentioned above anyways.
E-bay can be very cheap as well but be cautious who the seller is.
It's also a good idea if you need something but not in a big rush, you can check once a week fo closeouts, or drastic price reduction sales to get even better deals. Example I was checking for months for a good bike computer and purchased last week a Sigma BC1609 cadence computer for $33.98 from Price Point and my local LBS had it for $95! I also needed tires last spring so checked starting in Feb and in April found a closeout at Jenson USA a pair of tires that retailed for $40 for $18 each so I ended up getting 4 pairs once I discovered how great of a tire they are. I also ordered 3 pairs of Mich AirComp latex tubes for $10 each at JensonUSA, my LBS wanted $18. You have to be patient and sales do happen, but really deep cuts also happen; Nashbar has a great sale going on right now for tires, especially certain Vittoria's and certain Vredestein tires.