Newegg isn't always the cheapest but we recommend it becuase it is the best for builds. However buy.com and bestbuy usually have some good deals as does zipzoomfly, frys, and svc.
So for builds newegg is #1 no questions asked but yes you can a lot fot iems find cheaper parts elsewhere but remember that you get neweggs UNRIVALED customer service as well so if you pay 20 bucks more for something and it breaks 8 months later newegg will cover it even if its not under warranty...gotta love it.
Still I recommend other sites all the times for cheaper parts.