For Anything in Particular:
IKEA
Target
Chumbo

Using Promotional Codes:
Current Codes
CoolSavings

When Comparing Prices:
BizRate
PriceGrabber
NexTag
C-Net
MySimon
DealTime

DVD Price Search

For Books:
AddAll (This is the best one to compare prices)
amazon
Barnes & Noble
Borders
Powells
alibris
Cobblestone

For Music:
Secondspin
Tunes

For Everything Else:
buy.com
EBay