I've bought tools from a few different online places, but most of my online purchases come from Lee Valley and Amazon. Lee Valley is awesome, I can't recomend them enough.
I've also bought from Grizzly with good results as well as Spray Gun World/Tool Paradise. I was kinda worried about that company, but I was plesently surprised by their fast shipping and that everything got to my home in great condition.
My next couple purchases will go to Bob Marino for some Festools that I've been wanting then, probably Wilke.
There was one company that I didn't have a good experience with, but I can't say it was 100% their fault, though I do think that they could have been a little more helpful. Because of that, I will not mention their name at all.
Lee Valley on the other hand, was very helpful to me when they didn't need to be. If I could only recommend one store, it would be Lee Valley.