Usually the best deals on low and mid-priced bikes is to go with a pre-built bike. On a high end rig, though, shopping around might allow you to save a few bucks. More importantly in my mind, you can build your bike with the exact specs you want.
Here's a couple of the sites I watch for deals:
http://pricepoint.com/
http://www.supergo.com/index.cfm
http://jensonusa.com/
Finally, this site is spendy, but you can customize a bike online and drool over the specs sheet.
http://wrenchscience.com/WS1/default.asp