I like to buy what I can at the LFS - my favorite one of late is Greenwich Aquaria - but they don't have a massive drygoods selection, so what I get there ends up being mostly fish and frozen foods.
For corals, my favorite buying opportunities have been local frag swaps and Reef-A-Palooza NY.
My tanks have been largely outfitted through Marine Depot and BRS, but there have been a few things (meds that work!) that I've had to visit Drs. Foster-Smith for.
~Bruce