jensonusa almost always has the best price on shimano parts

you can always check out roadbikereview.com for used parts...

most places specialize in MTB only though...

Depends on what you are looking for, really. I tend to use my LBS for the important things that need professional installation or fitting - like the bike itself, Aerobars, stems, handlebars, derailleurs, etc. I have no problem buying the consumables like tires, tubes, etc. online as well as things that don't need a professional's touch, like a new cassette or a waterbottle cage. That being said, there are three places that I use frequently:

1) http://www.totalcycling.com/ - they have excellent prices on some things - like tires at 1/2 what my LBS charges, or Sidi shoes for $60 less. The trick here is to buy in bulk as there will be a minimum shipping charge of something like $20.

2) http://www.yaquiusa.com/ - yeah, believe it or not. They have decent prices and a personal touch as I do not believe they are automated in any way. I recently got a cassette from them that was $10 less than even totalcycling and $40 less than my LBS (but I do the installation, which I am OK with).

3) http://www.glorycycles.com - they sell a bunch of stuff on eBay at pretty good prices. Not a big selection, though.

This web site will give you several links to low priced components. http://www.comparisonpricing.com/