You guys pretty well covered everything I’ve used. I have found that often the engines have inaccurate prices and many of the low-ball prices are misleading; hidden handling charges, “equivilent” products, refurbs. Many of them also have their pet “affiliate” dealers and competitive sites like NewEgg and Buy.com are missing.
If I’m seriously shopping, I always copy the part number and do a search on at least NewEgg, buy.com and amazon.com. Sometimes the latter will surprise you.
For the really hard to find stuff I wade through a Google search, refining as I go.
Finally, manufacturers sites sometimes have great deals. Belkin and Dell can sometimes beat anything else out there. (Esp. with those magic coupons)