Don't forget that DK/Mouser/etc. have a default catalog price, which is basically your optimistic "thanks for looking!" price. As mentioned, they participate in sales and supply contracts just as much as anyone, and that is where you can negotiate better prices.
My one example: a modest (80MSps 12b 2ch) ADC by National, we were considering improving. Via FAE, we picked an ADI part with twice as many channels and a fraction of the total operating power (1.8 vs. 3.3V, among other improvements), and they offered it for a lower per-part cost at the quantities we proposed. So, they improved on BOM cost alone, but also offered considerable economy with the bigger and better-performing part. The manufacturer in turn negotiated with Digikey, who quoted the price to us.
It's also my understanding that DK is very competitive in passives, when you're buying them in boxes or pallets at a time (i.e., millions of units). Not much of an economy the home gamer can take advantage of, but it shows they're not all about your top dollar.
Tim