BestPrices.com, DigitialEyes.net, Overstock.com, DeepDiscountDVD.com, Buy.com, and DVDPacific.com all have some good prices, and you can try BizRate.com for finding stores with cheap prices. There's also BestBuy.com, but in that respect I'd probably just recommend going to one of the stores because then there's obviously no shipping cost.
However, I may have to recommend RightStuf.com the most, because while their normal prices can easily be beaten, they almost always are having weekly specials and a big sale going on that's hard to beat. And if you're looking for anime licensed by ADV, ADVFilms.com can have good sales as well.