Allow me to state a point that I feel is very important. That is the benefit of finding a good, quality computer shop and developing a relationship with the staff. I personally buy all of my computer components from two vendors in the Portland, OR area. ENU and Pacific Solutions. I shopped around quite a bit before coming to this list, I found stores that had reasonable prices (in fact ENU turned out to be one of the lowest in town), and then narrowed my search by how I got along with the staff. Would they take the time to answer my questions? What's the return policy? How well will they stand behind what they tell you?

example:
I purchase a Matrox video card with assurances from my salesperson that it was compatible with my motherboard. I go home and install it and find it to be incompatible with my hardware. I look up some information on the net (after reinstalling my old video card) and find that the particular Matrox card does indeed have problems with my motherboard's chipset (or it was with K6-2 processors?, I forget). I take it back. Now that store had a fairly "good return if defective" type policy, but, because the salesperson had told me it was compatible and it wasn't they allowed me to return the part even though it was in perfect working order.

I tend to avoid Superstores (Like Fry's Electronics along the west coast) as the prices usually aren't a whole lot better than the smaller shops, and you don't get the same level of service. In keeping with small shops I've probably gotten hours of free technical support just in the conversations I've had with the employees (also, I find that generally the employees of the smaller stores tend to be more "into computers" as they are usually also handling the PC Repair and building of systems as well as working the register).

As much as I do surf the web it is one place that I rarely go for computer parts. I find it easier to work out a problem all at once and the last thing I want to do is finally start assembling a machine, find out one piece is broken, and then have to wait the days as I send back the piece and wait for a replacement from some vendor half way accross the country. I want to be able to hop a bus/car/cab/etc... get to the store, replace the part and get back to it as soon as possible, I also enjoy supporting local businesses.

Really it's a matter of preference, and getting exactly what you pay for. Web sites and conventions sometimes have cheaper prices (not always mind you) and superstores are very convenient, but to get the best of all consumer worlds I have to pitch my vote for those small computer shops and their knowedgeable staffs.