You WILL NOT catch me buying anything from Buy.com ever again with the way they've positioned themselves.
I use multiple places, but Newegg gets 90% of my business.
Newegg.com - I pay no taxes and the prices for me are either a match to other places online or, maybe $5 more. To me, I'll pay $10 more on a component because as Jip mentioned, you get industry leading customer service. And to me, that's worth something more than just my loyalty. Newegg is possibly going to go public. This worries me because then, they will be at the mercy of their investors instead of running themselves. This could, and most likely WILL, mean a less tolerant return policy, tighter control on prices, customer service will likely suffer and my overall confidence in NewEgg is going to be tentative at best until their new structure has shown their colors.
Microcenter.com - I don't pay taxes here either. Sometimes, their prices are wildly more expensive than Newegg, other times, greatly lower. Most of the time, within a couple dollars. They ship fast and have a good return policy, but they aren't as liberal with their returns as Newegg. But I have no qualms over buying from here.
Tigerdirect.com - Pretty fast shipping, prices are OK, but customer service could use some work. Returns are hit or miss, mostly hit though. Tiger moves pretty slow with returns though. As with Microcenter, if Tiger has something significantly lower in price like fans, heatsinks, HDD, Optical drives, cases or PSU's, I'll buy from them instead of Newegg. When it comes to things like motherboards, videocards, fan controllers, things that typically go bad right off the bat, I buy those from Newegg.
Frys.com - These guys have pretty good customer service, decent prices and OK shipping times. Returns can be a bitch with them though. But still, if I have too many issues, I can drive an hour and a half and be standing in one of their stores.
Directron.com - I've used these guys in the past without any issues. They are slower by far than Newegg to get things shipped out and their return process is slow and often, unforgiving.