I'm cheap, so yes, I buy gear online.
The Hook and Hackle Company
I buy a lot of my hooks and whatnot from these guys, but in all, they typically run pretty decent deals on all of their gear. They devote quite a bit of marketing effort toward rod building, so I suspect they know what they're doing in that department. I believe most items are 20% off when you order online, and their shipping rates are comparable.
The Fly Fishing Shop
I only included this website, because they offer free shipping on orders over $50, so I bought my first TFO rod from them. Given the recent "cheap rods, high performance"
topic, I thought some of you might find this useful.
I've gotten a lot of fly-tying material from this guy. Unfortunately, his shipping prices just went up - he used to offer free shipping, but it must have hit him harder than I thought, because they've gone up twice since he started. However, once you order one thing from him, the shipping doesn't go up. This is just his website - I have dealt with him exclusively via eBay.
All of the above websites are pretty comparable as far as pictures, navigability, and whatnot. I get too frustrated with a poorly designed website to stick around for long, so these apparently passed the test.
I do have to tip my hat to Cabela's! I had a problem with a pair of waders I just purchased, and a human actually answered the phone when I called customer service, and this human acted VERY interested in making sure I was happy once the phone call was over. There's something to be said for good customer service nowadays!