It really depends- Ebay is always good, you can get just about anything for less then an autoparts store would sell it for.
OEM parts- I just go to the dealership, they always seem to have what I need in stock or will have it in about 2 days.
The vendors on here are great, and so are the sites like summit.
-Just make sure to compare prices (when I ordered my new rims, I picked them up brand new on ebay for less then anywhere else, anywhere!). Also, sometimes import shops can get good deals on aftermarket parts. I was able to get a set of PIAA 520's, roughly over $200 everywhere for $150.