Mail order
I don't like zZounds, but that's a whole 'nother story.
Musician's Friend is okay, but nothing to get excited about.
In the general-discount-music stuff (kind of the equivalent of the "big box" retailer), I've liked Music123. They're good about matching prices. Actually, they will pretty much always beat any Internet-advertised price you give them.
www.music123.com
I'd probably put Sweetwater in this category too, though they position themselves more as a full-service pro speciality shop. They throw little goodies into your box (candy, cable ties), which you may find charming, depending on your personality.
www.sweetwater.com
A real pro audio shop (as mentioned in another thread) is
www.mercenary.com. They mostly sell stuff that may be a bit out of the typical "home recording" league, but the site is interesting, even if you don't have a taste for retro pinups.
Two cool mail-order retailers are Full Compass and Markertek. You should get their catalogs, anyway. Full Compass doesn't really have a big "online" capability. Last I ordered something from them, you had to use a phone. If that scares you, you'll have to deal with it.
fullcompass.com www.markertek.com
There are tons of them out there. I probably have 50 links in my "favorites" directory. Some are really "Mom & Pop" operations where someone (kid?) got a website together. Here are a few interesting ones that may not be on every list of links already:
www.bswonline.com
www.proaudiodesign.com
www.tradingmusician.com
www.jacksmusicstore.com
www.iec-usa.com (not exactly a music store)
www.juststrings.com
www.jrfmagnetics.com
and of course
www.radioshack.com