Micro Center is one of the best places to pick up a cpu/mobo combo as they usually have the best prices. Often true on most (if not all) CPU prices. As with any seller, sometimes they have the best prices on other parts, but not always. As far as other stores like Micro Center, I'm not aware of any. I either use Micro Center's St. Louis store or buy online at Newegg (or other online e-tailors).
Only caveat to Micr Center store prices is watch out for how much a given store's sales tax is. In some cases, it has made the pricing more expensive than I could have gotten online. Benefit is no waiting (assuming the store has what you want in stock).