I'm surprised that some of these sites that I'm listing weren't mentioned before. All of them has very good prices and a large selection.
http://animecastle.com/ --- I do most of my anime shopping from this store. They have speedy delievery and their prices are better then most other places that I've seen. I visit alot of online stores to locate the best prices.
http://www.dvdplanet.com/main.asp -- They don't just have anime but a wide selection of non-anime dvds. Sadly, that's all they sell is dvds. Be careful though, I've noticed bootlegs mixed in with the official stuff.
http://half.ebay.com/index.jsp -- Run by the people who run Ebay but the prices here are fixed so that you are paying one flat rate. S+H is extremely cheap as well. You can find almost anything here. Delievery in the States is fast.
http://www.j-fan.com/dir/Anime/Retailers/ -- This site I found one day while exploring the net. Awesome directory of links to online stories everywhere in the world. Take a look around, you might find a hidden gem.