I generally look around at the local Army/Navy store first to see if they have what I want. I don't settle for lesser or similar items because I am the kind of person who would never be satisfied. I have learned this in the past.
Other than that, Brigade Quartermasters usually gets the first nod, then Sportsman's guide if their prices aren't too nuts. Also, sometimes Cheaper than Dirt and AIM Surplus, but they are usually just for ammo, which is probably outside the scope of this discussion.