I mainly use digikey -- good selection, next day (or even same day) shipping. Mouser is a bit cheaper on some stuff, but their website annoys me. Newark is over-priced, but has some things the others don't. The rest I haven't used and are from when I've solicited for recommendations.
www.digikey.com
www.mouser.com
www.newark.com
www.allcorp.com
www.jameco.com
www.parts-express.com
www.bgmicro.com
www.goldmine-elec.com