You need to shop around on every order. I have a bookmarked list of parts sites that I compare on every order.
My top few are Rock Auto, Amazon and ebay. Advance Auto with discount code gets a lot of my business, too.
On my last order (two sets of StopTech Street Performance pads) Rock Auto was significantly cheaper than Amazon, even after adding RA's shipping cost.
Unless you have Prime, RA shipping will be faster than Amazon in almost every case, from my experience.
Other places to check include FCP Import, Autohaus AZ and websites that specialize in your brand of auto.