http://www.misterart.com/ - I really like how organized their site is, very easy to navigate.
http://www.michaels.com/ - mainly craft things but I found some wonderfully large palette knives there the other day!
Here in town I go to Santa Barbara Art Essentials only when I'm out of something and need it quickly b/c they are quite expensive.
and, hands down, the world over, my favourite art store is OPUS Art Supply on Granville Island in Vancouver!!! I will be there next week as my daughter and I will be in Vancouver.