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runningwarehouse.com is usually my first stop.
Road Runner Sports for shoes because you can't beat their:
60-Day Perfect Fit™ Shoe Guarantee
With our unrivaled Perfect Fit™ Guarantee you can run in your new shoes RISK-FREE for up to 60 days (from your purchase date). If they're not a perfect fit simply exchange them and we'll be happy to help you select another pair. No questions asked.
RRS great if don't know which shoe is best for you.
+1 for runningwarehouse.com
In my experience they ship a lot faster than RRS.
If you don't mind paying more and it's something they have in stock, Zappos is good.
If you know what you want check out Holabird.com and Eastbay.com.
I will also put in a plug for going to your local store if they are decent. I think it's worth paying a bit more to support a good local store.
runningwarehouse.com
I just bought a pair of shorts, a watch, two singlets, and have previously bought shorts on there, 2 business days to ship (mon-fri, so make ur purchase on like mon-wed), but the stuff is great. google "runningwarehouse.com coupons" and there should be a site called something relative to retail or the first one, whatever, but you can use the codes to get 10% off any purchase, haha.
Yup, Runningwarehouse.com is the best I have found.