I've bought from northern brewer, rebel brewer, austin homebrew supplies, and midwest supplies. I've also experimented with the others but never purchased. Brewmaster's warehouse is also very good from what I hear. NONE of these places will be significantly cheaper than you LHBS. Any savings are probably eaten by the shipping costs unless you are buying large orders where you can get free shipping, or ordering enough for a couple batches at a time.
IMO, austin homebrew supplies is the best. My main reason is because they have reasonable shipping, good variety, and allow you to buy grains by the ounce.
If you have a scale and/or don't care about buying grains by the ounce, then northernbrewer has the best variety and selection of hops/grains.
Rebel brewer has the cheapest shipping, especially for small orders. I changed up a recipe and had to order some extra grains and a different yeast and I got $3 shipping for the order, when most other places would charge a flat $7 minimum.