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That depends what you are looking for. I'm a big fan of saltwaterfish.com and liveaquaria.com for livestock, reefs2go.com for pods, and bulkreefsupply.com for equipment.
My only problem with ordering online is you pay so much for Shipping and handling. If you purchases enough they wave the shipping. My only issue when I wanted to do it was I didn't want to shock my tank bio-load with ordering all my fish at once. That is what I would have had to do in order to not pay $80 dollars worth of shipping.
Some sites will order free shipping packs so the rest of your order will be free as well. You could look for that. It is either that or the LFS really.