Though I don't buy components very often these days, as I have stopped making computers for others, I still do a little bit of window shopping from time to time online. I even ordered a bit more ram for my main computer last week. But I'm not too well informed on the alternative spots to shop anymore.
Since I'm in the US, my primary internet site to window shop is Newegg. Their site is organized in such a way as to make comparisons between items quite easy. But they are not always the best price. For a couple of years, I've also been ordering from Amazon.com. I no longer do so since they've started charging state tax on everything.
Mwave was always a secondary site for me to look for computer gear, but they don't seem to be as competitive anymore. The downturn in the economy seems to have hit them a little harder than Newegg or Amazon. Directron is another to consider if you are not in Texas. They carry a good selection of computer cases and power supplies.
So, I'm mostly stuck with Newegg. This last item I ordered has been shipped through DHL-->USPS. Which generally means I'll be lucky to see it before the end of the month. I hate having this option pop up as their free shipping. And you don't really know until after you've placed the order that you're getting the DHL turtle express. The handoff between DHL and USPS has added a couple of days in the past for some orders and tracking anything with USPS is darn near impossible.
Other choices? Fry's, MicroCenter?
If you live in the UK or other parts of Europe, you might want to chip in on your shopping sites too, as that could be helpful to our members on that side of the pond.