A local PC shop. Simply for the reason that it doesn't cost any more, and I could return any part within 15 days for any reason. And what they don't have in stock, they can get the next day.
I know some of you won't believe that you can buy stuff locally for the same as Newegg, so heres a comparison with a local store,
ENU Inc.
P4-2.26g
Newegg - $270
ENU Inc. - $268
Asus P4B533
Newegg - $145
ENU Inc. - $144
True Samsung PC2700
Newegg - $170
ENU Inc. - $165
And like I said, if I don't like the part (for whatever reason) I can simply take it back. I've done that with a couple motherboards in the past, that I simply didn't like. (i.e. The P4B533-VM didn't have the features I wanted, and I didn't realize it until I ran it... Took it back and got a P4B533.)