I buy a lot from Amazon via my job. A lot of the time their prices are cheaper, but when you've added on the postage and packing (unless you've spent enough to qualify for free delivery), you don't actually save that much. That's when they can supply, of course. Beware - if they say something like 'delivery in 4 to 6 weeks', it usually means never.
I don't like buying books from Tesco, because a) they only have the top books in, usually, or at least a very limited selection, and b) they don't really care about the books. Everything is placed higgledy-piggledy (unless it's a Top 10 title), and these places have never heard of alphabetical order.
WH Smith and Waterstones (in Leicester, at least) seem to have limited selections too, and they aren't that cheap either.
My favourite place is Borders. Although they sell the books at the going rate, they often have special offers, and they have loads and loads of titles. Plus you can take a book up to the coffee shop for a gander before you buy - but of course, I would never do that. ;-)