Generally, Newegg has the best prices, but sometimes you can get things a little cheaper on Amazon since they have a lot of items with free shipping (you save a TON on shipping a case there).
Like treefrog07 said, I subscribe to Newegg's newsletter and Shell Shocker Deals (3 every day). The chance that what you're looking for to go on sale any given day is pretty small, but they have good sales on individual parts every so often and around major holidays. For example, Newegg just had a bit RAM sale a few weeks ago where desktop memory was 15% off.
I tend to shy away from Tigerdirect, since they have awful prices, pretty poor customer service, and don't have a lot of up-to-date stuff.