I always buy them online directly from the airline. Most airlines give better deals when buying the tickets online, and it's fast and easy to do.
You can compare pricing at a number of sites such as www.orbitz.com and then go directly to that airline's website to purchase. If you purchase through the third party like orbitz they add on handling fees.
I usually buy direct from the airline, but hotwire.com is a good place to get a feel for lowest price out there. I got a ticket for May to go from Phoeniz to Dulles (near DC) for $276 total, on Northwest, the lowest fare on Orbitz for that same flight was $386, and that was the same price fron NWA at thier website. OF course, BUYER BEWARE, on an auction site such as Hotwire you don't get FF miles, and the flights may not be the most convenient times, They have always worked for me when I use them, only because I use them when I can be flexible. But for a business trip, or a cruise or a planned trip to WDW (hotel reservations involved) I use either the airline site or the corporate travel agency. It may cost more, but sometimes you have to be somewhere at a certain time. Barring bad weather, that has always been a safer way.