Sometimes I'll order Arduino stuff from the Maker Shed if I'm ordering a copy of Make magazine and want to make it worth the shipping.
If I want to buy a shield, the first place I look is Adafruit.
(stock up on the shield stacking headers too... they come in SOOOOooOOo handy)
And I know I'm going to get hate for this, but Parallax has the best sensors anywhere AND datasheets for everything!
http://www.parallax.com/Store/Sensors/tabid/86/Default.aspx