I've used BBTS and AlterEgo. AE had a better policy of notifying me before they nailed my checking account on an order ... but BBTS has a no penalty cancellation, so I usually use BBTS.
I mainly use www.angolz.com at the moment. Their international postage costs, at least to where I am, are better than any other I've seen. That's a big factor for me. Their selection is not the greatest though, they've got the odd surprise here and there but they seem to skip a lot, unfortunately.
Big Bad Toy Store has a very nice selection but the prices sometimes seem way out there to me, but still I'll order from them if I need to, they seem fine.
I also very much like Things From Another World (www.tfaw.com). They've always been very friendly and nice in my limited dealings with them. I feel good giving them my business.
It used to be Sideshow, but the new FedEx charges are crazy, (although the service IS excellent) so now i am just buying major exclusives and PFs direct. For the UK for Hot Toys, Enterbay etc you can't do better than Breaker's Revenge!