Where I shop online:

~ Mecca Cosmetics *
Australian beauty site with pretty much everything that you can't get elsewhere in Australia. Free shipping over $75.
What to buy: Too Faced, Urban Decay, NARS, Stila, By Terry, Kate Somerville.

~ Strawberry Net * (also for internationallys)
Cheaper, authentic products than retail. Free shipping worldwide. Bigger discount with each purchase.
What to buy: NARS, Giorgio Armani, and YSL

~ Beauty Bay *
An international (uk) site that has good brands you struggle to get here, for slightly cheaper. Free shipping worldwide, however, shipping is very slow. Never expect it sooner than 2-3 weeks from purchase.
What to buy: Too Faced, Paperself lashes, Anastasia Beverley Hills, Urban Decay, Zoeva brushes, Illamasqua, and Stila

~ Adore Beauty *
Some brands are slightly cheaper, most are RRP but exceptional customer service and delicious samples (both beauty and the tasty variety!)
What to buy: The Balm, Benefit and Aesop

~ ActiveSkin *
Awesome customer service with cheap pricing for some good brands. The only place that I could find online that stocks the pressed powder form of Becca's Rose Gold highlighter. Free Samples.
What to buy: Becca and The Balm

~ Catwalk *
Cheaper hair products. Free samples too. Good sales regularly.
What to buy: GHD, Moroccan Oil and Redken