I always check Amazon and ebay for prices before I go to stores. Sometimes I can find things that are $15 at walmart and get them for $5 on ebay! Right now I am searching for a birthday gift for my sister and I am scouring the web for a low price.
I personally check between 1 - 3 sites to make sure the prices are okay, I mostly go for the most expensive because it gives me warranty and customer protection, I mostly check Ebay and Amazon, in some cases walmart.com, however I always use Amazon for my purchases.