Start here (always!): www.dvdpricesearch.com
Generally, you will find that www.deepdiscountdvd.com has the lowest prices. They also back that up with great service - highly recommended!
DeepDiscountDVD - good prices for the most part. They have some especially good deals on box sets. If you want any A&E product it's usually about 45% off.
DVD Empire - again, good prices. Especially good pre-order deals (35% off) on most Columbia & Fox product. The big draw here is their Pre-Order Manager, which is absolutely the best Web ordering system I've ever seen.
DVD Planet - ALL pre-orders are 30% off. This will in many cases beat DeepDiscount and DVD Empire. 35% off on ALL Criterions - the best deal out there on that label. Also, DVD Planet is one of the few DVD etailers left that still supports EBates, with a 5% rebate, which gives you an effective 35% discount on all pre-orders.
All three vendors above have given me nothing but exemplary service.
Another price searching engine: www.bargainflix.com (I like their layout better even if they don't compare as many companies as they take into account shipping costs)
Online I buy from Deep Discount and half.com. Occasionally I bid in an auction or two (I'm too cheap to win often though). Most of my best deals come from the brick & mortar stores of Houston and of course work (I work for a small indie retailer and get perks)