Remember Your Local Hobby Shop – They’re prices are surprisingly competitive and you get to see what you’re buying, there’s free consultation, and you get it same day. They also provide a connection to the local RC community and you’ll learn useful information that you didn’t expect.
That said, sometimes mail order is not bad.
Tower Hobbies has good prices, frequent discounts and are FAST!
Hobby King has a lot of cheap products and exclusive models. That being said their low prices are often undermined by high shipping charges and long waits. They have many warehouses around the world which can make the ordering process confusing. OTOH their products frequently have useful and interesting ratings and discussion forums incorporated into them.