I'll second the SBO site recommendation, but have a few more recommendations. I'm with
@jwing , you need to balance the level of service with the cost. I'll always go with a local company if it's within 10% of the on-line. This is not charity - it's maintaining the presence of the local store that will be there on Saturday morning at 10am when I really need a spare fuse or tube of 3M 4200 in a big hurry. Remember to add-in shipping charges.
For online purchasing, I will also check Defender.com, Annapolis Performance Sailing (APLltd.com), Marinebeam, and FisheriesSupply.com -- all have their particular niches, so it's best to cross-compare when you're pricing something expensive. If you don't need new, eBay is a great source of used parts, but you need to know what you're looking at. For anything expendable (think anything soft like cordage, sails, canvas covers, tubing, etc.) I found that buying new will save money as there's usually not much useful life on the used stuff.
For canvas work, I usually go with a local canvas shop. There's enough local business in awnings, boating, and RV's to keep these small shops open. That can't be said for chandlers where the on-line stores have beaten the brick-and-mortar stores to death, like in every other commodity.