It depends, for UK releases then Amazon normally gets the first look for me. Other UK, or channel islands, based online stores also have good deals at times.
For US releases I tend to either go for United Publications (
www.up1.co.uk) or TRSI (
www.rightstuf.com). UP are in the UK so you don't have to worry about customs and will deliver to a non-credit card address. TRSI tend to be cheaper but are in the US so there is always the possibility of customs charges and they only ship to the credit card address. In stock items from UP normally get to me in 2 days, (can be ~2 weeks for things not in stock they need to import themselves), and with TRSI things normally take 3 weeks to get to me. Amazon US sometimes have quite good deals as well so can be worth checking.
For other releases ... well Amazon JP, YesAsia and Playasia are good for Japanese releases, (but they will probably be unsubbed and expensive).
UP gets most of my business though (for the convenience).
Of course if you do get US releases then you'll need a method of playback that is multiregion for DVDs and/or BDs.