Being a rank newbie, I pretty much limit myself to Enco, Harbor Freight and Ebay.
I also bought from Little Machine Shop when they had a sale or two on Starrett stuff.
I bought from Jeff Beck, tools4cheap.net and he is honest and a good guy.
What I do is make a "wish" list of items I want on Enco. I then load them into their shopping cart feature. When they have a discount, either 10%, 15% or 20% off and/or free shipping, I then buy what I can afford from the cart. We post the discount codes in this thread:
http://hobby-machinist.com/index.php?topic=92.0
I have also been posting discount coupons from Harbor Freight in that thread also.
I buy some off Ebay, but be careful on tooling. I notice a lot of the stuff on Ebay goes for close to what it sells for brand new, stuff like edgefinders, wigglers, scribes- they seem to sell for almost what they cost brand new, so why buy used?
I almost paid $200 for an SK 1/4" ratchet set I could buy brand new for $230. Some of the tooling they sell is NOT a bargain. There are some vendors who charge top dollar. TNGtool sells parallels and 123 blocks and his prices seem pretty high to me. He also has a "make an offer" option, which in my mind supports my opinion. When I need SB parts, I buy from ipenelopepitstop, texan45, xtrucker and a few others.
McMaster-Carr is expensive but they have great stuff and super fast service.
I have heard good things about Shars, CDCO for QCTP holders.
I have heard good things about Grizzly, but have not had good experiences myself.
I have the catalog from Travers Tool, but have never bought from them.
Best,
Nelson