If you're looking for a hard-to-find needle size (I needed 12" size 2 circulars) and can't get them locally, I'd happily recommend Spokane, WA-based Paradise Fibers.
I ordered the 12" circulars, some rosewood "Sox Stix," wooden cable needles, and a skein of hemp yarn on Tuesday evening. Their prices were competitive with my neighborhood stores, and even though the Priority Mail shipping estimate they gave me was 4-7 business days, I ended up getting my order yesterday.
It was a pleasure to do business with this family-owned-and-operated company. They had exactly what I was looking for at reasonable prices, and even their order confirmation e-mails had a personal touch. Next time I visit my dad in Spokane, I'll be sure to stop by so I can meet these terrific folks in person. In the meantime, though, I know where to look online when I need new needles.