If you're not in a hurry to receive your goods, then buying online can save quite a bit, obviously the cost of postage can make the stuff you buy no cheaper than buying from GW.
Wayland Games offer free p&p every now and then using a promotional code, I've ordered from them a few times, but sometimes the delivery takes as long as three weeks! I suspect they don't keep much in stock (although they say they do).
Gifts for Geeks are excellent for delivery times, but I tend to wait until I've got a largish order to get value from the postage charge (cheapskate).
Look at ebay too, alot of sellers have brand new items very cheap, but beware a bidding war, I've watched stuff sell for more than the RRP (once you include the poastage).
There's a couple of things I need from Gifts for Geeks, if you're interested in combining an order let me know at firstname.lastname@example.org