Prices do vary widely, and a supplier who's cheapest on one thing might not be on others, so do shop around every time.
From my own experience I can recommend:
Magicbox http://www.magicbox.uk.com/
Very good prices (often cheapest on most things), speedy delivery, wide selection. Excellent personal service on the occasion something went wrong. Well-designed website, easy to search or browse. Usually my first port of call when shopping around.
Top Secret Magic http://www.topsecretmagic.co.uk/main.html
Good prices, speedy delivery, wide selection. Website design a letdown, not wonderful to browse, almost impossible to search, but does have big detailed pictures and plenty of description. Join their e-mail list for notification of sales and new items, if you can resist the resulting CUPS.
The Card Collection (Cards 4 Magic) http://www.cards4magic.co.uk/
Excellent prices, lightning-fast delivery. Specialise in cards and dice, but sell considerably more than just these. Have or can get just about any cards currently in production. Website basic but fine to browse and search; not everything is illustrated.
Mike Danata's Magic Studio (as mentioned above) has excellent stuff at good prices, and a wide selection, but the website itself is dreadful. Difficult to browse, and makes my head hurt to look at it.