For most of my photographic needs, I use B & H, Adorama and sometimes Amazon. Be careful with online vendors. There are many very bad vendors out there. If the deal seems to good to be true, it usually is.
In addition to the places mentioned (all of which I also use), Newegg.com also carries some photo and video stuff. It's not remarkably cheaper or anyhting, but they have awesome shipping and customer service.
Another vote for B & H Photo Video (big ticket items) and Amazon (for smaller things). Compare prices and shipping-sometimes you can get free shipping with both stores. I tend to avoid Adorama as they sometimes charge restocking fees.
I get most of my stuff from either Amazon or Adorama. Never had much luck finding good deals at B&H. As others have said, be careful with "unknown" online merchants. When I shop on Amazon, I try to order an item that is "sold and shipped by Amazon" but depending on the item, it maybe be sold by Amazon and fulfilled by a third party. I've bought a few lenses from 17th Street Photo via Amazon and never had an issue. Main thing to keep in mind is if the price seems too good to be true, it likely is.