I've shopped online at quite a few different outlets for wine stuff.
Most seem to be competitive in base prices or have cheaper shipping charges to offset higher prices.
You can shop around if looking for a specific item and find deals.
But for general supply shopping, the best places are the ones that do the 'other things' well. Like prompt shipping, good packaging, having a website that you can find what you want without having to take a training course, and the always important customer service.
Here's a place I like a lot.
http://www.daveshomebrewgourmet.com/
On the other end of it, my least favorite is the 'f__________n trap'.
Beware the trap!