I really prefer Digi-Key most of the time for the selection and the customer service*, though they are expensive. If you pay by check (yes, in 2014) you do get free shipping, which is nice if you don't mind the wait - usually not long anyway. For small orders, it's not unusual for this free shipping to cover the cost difference between them and a cheaper supplier. I also prefer their web interface, though that seems to be a point of contention.
*Digi-Key are the only ones I've found to have customer service that's helpfully responsive to people with small orders. Anecdotally, I gather that a number of my classmates actually called DK for advice selecting a part for a school project, and they actually took the time to give good advice, complete with explanations of how the parts work. These were students, who spent probably $60. For the same project, I inquired a few of the suppliers about the silicon revision being sold of a particular AVR chip, and DK were the only ones who would even bother to check. The overall experience dealing with them for this project has gained them at least one long-term future customer.
Mouser has an okay selection, though not quite as broad. I wish they'd get Linear. Generally cheaper, and equally reliable.