Well if you are not looking for hard to find rare discs or the just released yesterday, I would recommend Yourmusic.com. Customer service can be slow, but they do respond. I have bought a lot of music here.
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YourMusic.com is consistently inexpensive and is fine if you don't mind the rather modest selection. DeepDiscount.com seems to have a much greater selection but is much more variable for prices. Both Overstock & Amazon also have lots more selections than YourMusic. I've actually quit YourMusic recently because of that lack of selection (and will pick up a bunch more @ DeepDiscount now). It all does depend on what you're looking for, so it's definitely YMMV.
YourMusic.com not only had a weak selection. The few titles they offered that were not big sellers and available at Walmart in Podunk Iowa would get pulled from their inventory ALOT. My monthly queue selection was yanked at least 7 times in one year.
The people at Wayside Music and Squidco are deeply into music that isn't stale and generic. Both have bargain bins and Squidco doesn't have any shipping charges in the U.S.
For classical: ArkivMusic. They have an unsurpassed selection. It's also an easy site for looking up recordings by performer, composer, conductor, or label. Not the lowest prices, but when you can't find it anywhere else, chances are they'll have it. Great customer service. Get on the email list to be informed of salesit's the time to buy for competitive prices.