I've ordered from Newegg for two years now and never had any trouble at all. I've also told others about them, and those people have never had trouble. A couple people have received bad RAM or motherboards, but that wasn't Newegg's fault. Besides, they RMA'd them and got new parts within days. Also, their prices may not be the absolute lowest, but about half of their product line has free shipping.
Other places I use regularly:
www.directron.com
www.1coolpc.com
www.frozencpu.com
www.jab-tech.com
www.coolerguys.com
I've never had trouble with any of these places, although I've heard the occasionally grievances with all of them.