I used to drink the RockAuto kool-aid, now I am apathetic towards RockAuto. Great interface, easy to find the parts you want assuming they're in stock. Price is kinda competitive, but shipping usually makes it the most expensive option overall. Finding a PN in RockAuto and then checking Amazon is usually a good option. Prime shipping FTW.
I don't have a single go-to parts store, but I do like ordering through AutoZone online for home delivery. There are routinely "20-25% off plus free shipping" codes, sometimes better. Stuff ships slow-ass ground, so prepare to wait a week or so, but it's nearly always the least expensive option in my experience. I've never had trouble with AutoZone parts, but I don't use AutoZone brake pads (I do use AutoZone rotors though).
I found a couple Mazda dealers (two of my three cars are Mazdas) with good online parts sites that I use for specialty stuff. For my MR2 I know the owner of a store who specializes in MR2 parts and hardware. He is also a dealer for Porterfield brakes, so I order brake pads through him.