I (Bucko) recommend you always try to buy stuff from the UK where possible. Buying from the UK supports the industry over here, which means they get more money to get new titles, and to advertise existing ones. This helps increase overall fandom, which is a good thing for anime in the UK in general. You can check what’s potentially available for release at Animejin. :-)
That said, buying from the US will tend to get you titles sooner (though ADV at least have hinted they’re trying to reduce the lag time as much as possible - and we’re often behind the US for releases anyway), and you’re more likely to get special edition content, collector’s boxes, etc.
I (Bucko) personally recommend http://www.kelkoo.co.uk/ for buying just about anything in the UK - http://films.kelkoo.co.uk/ is where you want to be going for DVDs. They index a lot of big online suppliers of stuff and give you a list of matches from each supplier with price (including the P&P from each). Their website isn’t superb in implementation, but it’s quite usable if you don’t try to confuse it. :-)
For manga, http://books.kelkoo.co.uk/ . :-)
Amazon.co.uk are generally cheaper than stores, especially if you buy enough to get free delivery, and apparently have quite a large selection - although perhaps not the most complete information.
http://www.otaku.co.uk/ have a large selection of anime, manga, and lots of merchandise (art books, soundtracks, etc).
YesAsia.com is like Amazon aimed at the Asian market, if you want to be a little bit different. You can find stuff straight from Japan, or even aimed at other countries. Be a real fanboy and get your Cantonese-dub copy of your favourite anime (but make sure your DVD player can handle them!)
http://www.amazon.com/ — Obvious site; they often have stuff that’s limited edition, plus good offers on other things. Be warned — they provide informative labels on their goods, so you’ll have about 23% slapped on their prices in tax, then the huge cost of import P&P and an extra £5 (increased recently) that the Post Office charge for paying the customs fee for you. That said, their prices often cancel all that out!
http://www.up1.co.uk/ — Trading on fairly dodgy ground, they appear to operate from within the UK selling many US releases. They’re quite fast on postage when things are in stock, but can often take an awfully long time when things aren’t. Postage is a reasonable price and they’re a small enterprise, so are often quite good with customer service.
http://www.archonia.com/ — Based in Europe, they offer a large range of DVDs, manga, toys, and magazines both imported from the US and Japan. Price generally is quite good, though postage is often expensive (they charge by weight, but it levels off a lot after a certain point).
http://www.dvdboxoffice.com/ — Canadian, they offer nearly every north american release. They ship everything out individually, so you’re only going to get hit for Import Duty on any individual package above the threshold, but experience suggests that they can be slow to re-stock; if you’re ordering something that’s only just been released they’re often very prompt, but can take a month or so at times to get old stuff in. Unlike some places, you don’t pay anything on top of the listed price for shipping.
http://www.hk-gensen.com — They are a Hong Kong site devoted to bringing you the best figures from Japan brand name. They specialize in comics figures, video game figures, capsule toys, mini figures, animation figure, non-action figure, ABS figure, Dragonball, Gundam, Bandai, Yujin, Namco and a hell of a lot more.