There are literally hundreds of web sites with low-cost computer components. The best of these are very, very good. The worst of these are the stuff nightmares are made of. Really. I'm going to list sites here that I purchase from frequently .. or at least consult frequently.
Newegg By far, my favorite web site to buy computer components from is Newegg.com. At last check, I have placed 78 orders with them ranging from $7 to $1400. How do I know this for certain? Every order I've placed with them is available in my account order history on their web site. This includes a complete listing of everything I've purchased and how much I purchased it for. Several times, I've used this to check what products I put in which build. It's quicker to look this up online than to try to look through my files or pop the side off of a machine. It also makes it very easy to buy another of the same item to put in a different machine or recommend it to someone. My first purchase from Newegg was in in October 2001 meaning that I am quickly approaching my eighth anniversary as a Newegg customer. My first purchase was a Leadtek TI200/TDH GeForce3 Ti200 64MB AGP 4X Video Card for $229. I'm sure it was a bargain at the time.
I've built dozens of machines using Newegg as the main source. Most of these were for myself or my family, but more than a few have been for friends. In the latter case, it's easy to collaboratively help friends. The way I do this is either I or they start an initial wish list of components, save it to a named list, make the list public, and mail it's link. At the other end, the receiving person loads the items into the cart, make any changes, saves a new wish list and emails out that link. (I do wish there was a way to have people share and edit the same cart, but at least you only need a pair.) Once the wish list is finalized, it's simple for them to place the wish list in a cart and check out. Once the get the parts are delivered, we have a build-fest afternoon (and/or evening).
Finding items on Newegg is wonderful. Their Guided and Advanced Search are both good at whittling down items, but the Power Search is the real winner. I can reduce hundreds or thousands potential components down to the dozen or two one that really fit my build in mere seconds. The number of times I've posted the results from those searches as an answer to some forum post must now number in the hundreds if not thousands. No other site has search capabilities this extensive.
Every order I've placed with Newegg has arrived in three days or less. Three days is the guarantee, and for the first couple years, it was always three days like clockwork. I'm on the east coast; Newegg corporate is on the west coast, but three days was still a certainty. That is until a few years ago when Newegg opened a warehouse in New Jersey. Now, I often get the items two days after I order them, and never more than three. I get complete email tracking of when the order is accepted and charged and another (with tracking numbers) when it is shipped.
I've yet for Newegg to get an order wrong, but have had to return a few items I bought, and RMAs are easy to request online. One item was a video capture card that I had purchased before, but refused to work with one particular motherboard. I received refunds in about a week to two weeks. They do charge a restocking fee, which I wasn't overly pleased with, but since they would have to sell the card (for less) as an open box item, it was not a great situation for anyone. It's not their fault the card was incompatible. (Not really mine either.)
Bottom line is that I've ordered hundreds of items from Newegg over almost eight years. I wouldn't hesitate to ramp that up to thousands if the need arose. They've yet to make a mistake on an order or to be late on shipping an order. My returns were handled fairly and efficiently. I've recommended Newegg to many friends and those that purchased from them have the same experiences that I have. There are very few companies online or otherwise that run with this sort of quality.
MWave MWave is not as easy to navigate as Newegg and generally has nearly the same prices - occasionally one or two that is lower. I sometimes use MWave when Newegg is out of stock on an item since they seem to carry almost the same items. I will say that MWave often has some good deals on barebones systems and CPU/motherboard combos (with and without memory included).
TigerDirect TigerDirect is another site that's occasionally cheaper than Newegg, but usually not. They sometimes have things that the others do not. TigerDirect's reason for being in this list is that they often have really good sales. They also have some very good barebones specials. Their web site navigation and searching used to be horrid, but it's gotten better. I used to only be able to find something using the search tool, but that only worked if I knew the exact name/model number. Now, I do seem to be able to drill down much more quickly and accurately. Still nowhere as good as Newegg's options though. The site in general just seems to be improving.
NCIX US NCIX, as near as I can tell, is/was the "Newegg" of Canada. Now that Newegg Canada is up and running, I guess NCIX felt like they should reciprocate and open a site in the US and NXIX US was the result. Their prices are generally slightly to considerably higher than Newegg, but they have some really good daily and weekly specials.
Cooler Guys Cooler Guys is not a place from which one can get all PC components, but they have lots and lots of neat cables and cooling solutions. I look here for fans, heatsinks, passive cooling, water cooling and case mods like lighting and window kits. I get a lot of that stuff here because they are often cheaper than Newegg when shipping is considered. Newegg often charges as much to ship a fan or cable as the fan or cable itself costs. I think this site and PC Toys are the same site. My only complaint about PCToys is they are in Washington state, and I'm on the east cost, so shipping takes 5-6 days.
Silicon Valley Compucycle : http://www.svc.com/ Silicon Valley Compucycle (SVC) is another place to go for fans, cooling, lighting kits, etc. Additionally, they specialize in components for making silent/quite PCs. They sell lots of components offering passive cooling, case sound/vibration insulation, anti-vibration hard drive mounts and the like. That's how I discovered them myself.
A site that sells nothing, but that you absolutely must learn to check is Reseller Ratings. Type in the name of a web site you are thinking of doing business with and you can see what others thought about them. The reviews on the site are written by actual buyers (although there has been some claims of fraud to inflate the number of good reviews posted by using fake reviewers or that reviewers get a coupon or gift for a good review, etc.). Still, this is definitely a place to check before submitting an order with someplace you haven't done business with. If you don't find a rating for the site here (and it's a computer-related web site), it's either brand new or recently changed it's name (often in order to duck creditors, customers and bad reviews). I tend to aviod those. After you have used a site, consider adding your experiences to the site.