It really comes down to what it is for a part and how urgent it is.
That day or next - NAPA, Advance Auto, junkyard/used parts dealer
General maintenance items that are planned I shop around. I've done Amazon and Ebay for online stuff. Just have to pick and choose, do plenty of research each time you go to buy something.
For my mid 90s Impreza I have done the following
New rear drums, pads, wheel cylinders - $100 Amazon(compared to about $180 at NAPA)
Rotors, calipers, pads - $125 Amazon
My brakes are still working awesome a year later, once I replaced the master brake cylinder(emergency trip to westbrook NAPA)
I redid my exhaust from the cat back with OEM replacement midpipe, extension pipe(axle back without muffler) and a Thrush muffler for $200 from NAPA and Advanced
Then theres all the bits and pieces I bought at junkyards and used parts dealers.