Support your local record store(s) where possible. Some of these have already been mentioned, but here are some suggestions.
Discogs is good overall , buy from sellers with or very near 100% positive feedback. If you get to 99.5% or less, you'll find that they over-grade, or have other common issues.
Discogs is also a good place to get an idea of the quality of the pressing you're looking at. Users grade records and often leave comments about the quality of pressings. Steve Hoffman forums are another good place to get information about the quality of specific pressings.
For "audiophile" and high quality pressings, Music Direct and Acoustic Sounds are great.
Some decent places to buy online are Plaid Room Records and Pop Market.
For rare and unique records, try rarerecords.net