It depends on what you're looking for. If it's ammo, you might look at one of the places that only does ammo.
I don't always look for the cheapest prices. I also consider shipping charges (they should either be included, or it should be easy to figure what they are), sales tax (better be none), credit card surcharge(again, better be none, if I'm ordering on-line), how accurate and up-to-date their web site is (I don't like ordering stuff that they know they don't have).