Sierra Trading Post (STP)
"Great deals. Great brands.", is their motto. I have ordered from them the most, everything from fleece (Kavu), to snowshoes (TSL/Powder Ridge, 52% off, plus another 20% with an email coupon!), to packs (Timbuk2), etc. Get on their weekly email lists for deals/coupons, etc!
Backcountry.com & Backcountryoutlet.com are both great for finding sometimes outrageous deals on high quality gear. I purchased a pair of K2 Fugitives (soft, buttery, twin-tipped, park/powder) skis 2 winters ago. They were $680 retail, I picked them up from Backcountry for $140 (80% off!). Got a pack recently from there too (Lowe Alpine, at least 50% off). Like I said, outrageous deals.
Backcountry is also linked to Steep & Cheap, which I will talk about below; that's a whole different animal.
Campmor (old logo, but same idea)
Located in Paramus, NJ. Though the deals aren't quite as sick or frequent as they are at STP & Backcountry, Campmor is very worthy of attention. I have picked up everything from knives (Gerber), to packs (Mountainsmith), to trekking poles (Tubbs) from Campmor.
Steep & Cheap (SAC)
"One killer deal, one item at a time until it's all gone." is their motto. There are monster discounts here, but the catch is, only one item at a time, and when it sells out, it's gone. So you have to act fast. The site has come a long way to help you gauge how long you have before it sells out in your size, etc. For Mac users (other options for PC users), there is an SAC widget you can put on your dashboard, to keep updated on the deals. Check it out! (I have come very close, but haven't purchased anything from SAC ... yet.) SAC provides sick deals on outdoor gear in general.
With the advent of SAC and that style of deal sharing, several other sites have popped up with the same plan, just selling different types of gear for specific sports. And a lot, if not most, of these 1-deal-at-a-time sites draw from deals that originate at Backcountry.
Tramdock is all about ski gear.
Brociety is big on snowboarding gear.
Dog Funk is another online retailer.
Whiskey Militia is all about skate/snowboard/surf style. They carry clothing, bags/packs, accessories (shades, watches), etc.
Bonktown is where the cycling gear deals are at.
Suffice it to say, with these sites, I never pay anywhere near full price (even including shipping), ever.
Start hunting deals and get outside!