I've bought most of mine from Knifeworks, Ragweed Forge, A.G. Russell, and Cabela's.
Also in my bookmarked list of knife sellers are Cutlery Shoppe, New Graham, Knife Center, and a few others who may be just as good, but I haven't bought from them yet.
I also buy from eBay, but I don't see any good deals with the buy-it-now, no-auction sales. The auction items have some good prices potentially, depending on how high folks bid. I usually find something I want that still has a low bid and make a slightly higher bid. I won't max bid more than about 80% of what I could get it from a regular knife dealer (including shipping). Then if I happen to fly under the radar and pick one up for a steal (steel ?

), great, otherwise nothing ventured, nothing gained.
I try and support the dedicated knife dealers where I can, even when their prices are a few dollars higher. Usually, though, the absolute cheapest price I will find on a knife will come from a dedicated knife shop like Knifeworks or Cutlery Shoppe, rather than a general purpose store like Amazon. I do buy a huge amount of non-knife goods from Amazon, though. Of course, if somebody is selling a $40 knife for $30, that kind of difference is too big to ignore. I might still pay the $40 to a local store, if I knew any.