I buy almost all of my shooting supplies from the interwebs. I'm a busy man, and shopping online helps me save time, and usually saves me a buck or two. The following is a short list of my favorite retailers. All too often we focus on the negative, and who not to buy from. Well, here's raising my glass to the good guys of gun-nuttery. Here they are in no particular order.
Midway has just about everything you'll ever need for shooting. I've customized most of my guns with parts from Midway. They ship FAST and offer many options, including the good old United States Postal Service. If you're just buying a new set of grips and some replacement springs, you can have it shipped "parcel post" or priority for just a couple of dollars, instead of being stuck with FedEx or UPS (which are the better deal for bulkier, heavier orders or hazmat).
Surplus guns, ammo, and assorted accessories. I just buy ammo from this place. They are the cheapest I have found for 7.62x54R and 7.62x25mm. They occasionally have 5.56x45mm and 7.62x39mm surplus at reasonable prices. If you have an 8mm Mauser to feed, they can keep you stocked up at better prices than almost anyone else. They also sell surplus rifles, and occasionally surplus pistols. I've never bought a gun from them, so I can't comment on how smooth the process is.
If you need ammo for your 9x23mm Largo pistol, or some 37mm flares, or rocket assisted 12 gauge slugs, ATG has it. All sorts of oddball stuff is available at reasonable prices. I mainly buy 12ga buckshot and Multi-Defense ammo here. Reasonable prices, and a huge selection make it very appealing.
Guns, ammo, and accessories only a mouse-click away. I just ordered my Tokarev TTC from here on Thursday, the 23rd at about 2:30 p.m., and by noon on Friday, it had shipped. Fantastic turn-around, and great customer service. They are currently backlogged on ammunition and accessory orders, so you'll have to wait up to 14 days for it to ship. Guns, on the other hand, get shipped with blinding speed.