Great idea for a thread. I've had excellent experiences with:

Wallingford (see review above)

Harris Cyclery (A hat tip to Sheldon Brown) http://www.sheldonbrown.com/harris/index.html

Bike Friday (folding bikes extraordinaire) http://www.bikefriday.com/

Vintage Velos (for a very nice vintage-style jersey) http://www.vintagevelos.com/

Joe Young Wheels (outstanding custom wheel builder) http://www.youngwheels.com/

My local Performance Shop has a friendly staff and good prices. If something is on sale and I don't have the coupon, they'll find one for me.

Come to think of it, nearly all of my interactions with bike-related businesses have been positive.