I'm not sure where you live so will list US sites that I have had a look at and UK sites. US Websites Newegg - http://www.newegg.com/ TigerDirect - http://www.tigerdirect.com/ These are said to be the Cheapest SItes in the US they will probably be able to list more for you and a better opinion on them as well but its a start. UK Websites Lambatek - Cheapest Site In UK that I have found - http://www.lambda-tek.com/componentshop/index.pl Overclockers UK - Very Good site with a wide variety of parts although are a bit more Expensive than Lambatek - http://www.overclockers.co.uk/index.php More Computers - Very Good list of parts with very quick delivery, again a bit more Expensive than first site - http://www.morecomputers.com/ These I have found are the best three sites in the UK, If you pick parts try to compare between the sites because some parts are cheaper than on other sites.
For the US, Directron and ZipZoomFly also have pretty decent deals. As for the UK, eBuyer has the best deals IMO, with most items being delivered free of charge.
We much prefer www.zipzoomfly.com and www.directron.com... better prices, better shipping prices, better service... Followed by www.outpost.com, www.newegg.com, and www.tigerdirect.com but Tiger Direct has a very difficult restrictive return policy.
I've ordered a couple of items from Fry's and they've all been superb so far. I'd vouch for them too.
If you are shopping specifically for a desktop computer, this outfit is very good, in our experience. with a great deal of flexibility in motherboard, power supply, and video card. www.CPUSolutions.com
For sites that cover many other sites such as the ones mentioned above and for daily deals of the day http://dealnews.com http://bensbargains.net and with more an emphasis on macs http://dealmac.com/ Edit: Oh forgot to mention http://geeks.com
You miss a great number of bets if you do not include www.directron.com www.zipzoomfly.com For our three shops, we saved more money at those two, by far than we did with NewEgg... The big failures: TigerDirect, Frys.com, Techdepot.com, and cdw.com. NewEgg does have excellent service, particularly if something is not quite right on something you ordered from them.