I'm not sure about Sony components, but
E-cost has some pretty good prices. Shipping is free if your purchase is over $350. I picked up a JVC RX-8000VBK receiver for $269 there -- Circuit City wants $399.
I think 800.Com and Etronics.Com are a bit high. 800.Com isn't bad if there's a good sale going - 20% MSN discount, etc. - but that deal is long gone. Also, don't forget about some of the auction sites. There appears to be some good deals from time to time.
Additionally, Sears should carry Sony components. Sears will price match Internet retailers, but Sears will also want to add the shipping charges onto the price. Going this route may not be a bad idea. The last time I purchased something in the audio section at Sears, they had a 60-day return policy. Be sure to ask about the policy for your store before purchasing, though.