It depends on what part(s) you're looking for. Supply chain differences seem to make European shops less expensive sources for some parts. In the U.S., I often order from niagaracycle.com since I can usually find an item on their site, no matter how obscure, and prices are typically low.

It couldn't hurt to check your local bike shop, either. Their prices may be reasonable, especially once you consider no shipping cost, common parts in hand same-day, and no shipping cost if you need to return something.