Newegg for the most part--they're far cheaper than the main local option (Best Buy) with a better selection, and usually offer good deals or rebates. Having to wait for it to ship out is a bummer, but what can you do?
If I just need a quick, tiny replacement part, like some cables or LEDs, then I'll go to the Radioshack or (urp) Best Buy in town.
If I need a part
and it's something I can't easily fix myself, like when my laptop monitor went totally haywire, then I bring it into the local repair shop. They're not the cheapest option around (especially when you add in parts on top of labor), but I know the guy who runs the store and they do really good work. Plus they're less than two miles from my house.

Much better than having to ship my computer out to who knows where and wait 2+ weeks for it to not get fixed properly. Locally + done right the first time = win.