Newegg.com is by far and away my favorite, but not exclusively.
I use
CoolerGuys for fans and cables as I find Newegg's shipping for these low-cost items a bit too high.
I recently found
EXcalibur PC and they are sometimes cheaper than Newegg. I found them when Newegg ran out of stock for a motherboard I was looking for. It was cheaper and in stock.
I've also used
ZipZoomFly and
Multiwave in the past and liked them, but their web sites are not as easy to navigate as Newegg's and the prices are generally comparable.
This list is pretty much in order of my preference for using them.