It really depends on the parts. If you are looking for breadboard ready components or a great selection of shields then Sparkfun.com is a great source. However, they are not the cheapest. The biggest advantage with Sparkfun is that they provide a great range of ready to use components.
Once you move beyond that and are ready to start making custom PCB's and need individual components DigiKey is the best source. You can also try Janco and Mouser but I find that Digikey has the best selection. The pricing between those three is going to be very similar as is the shipping.
For shipping you get what you pay for. My last order from Sparkfun arrived in 2 working days and I only paid $4.26 for an $85 order. I was very pleased with that. If I had wanted next day it would have cost me $26. Simply not worth it. I just waited. It's worth noting that this is the fastest I have received an order from them. In the past I have waited as long as a week.
Digikey has same day shipping as long as you order by a certain time. I have never waited more than 4 days for a digikey order shipped regular mail and I think that included a weekend.