Honestly if you plan on getting everything all at one place be prepared to end up probably paying more, no website seems to have the best prices on everything. Newegg probably comes the closest, but since I live in NJ I too have to "shop" around to avoid the Egg tax. Also since computers are an expensive hobby I kind of created a routine that I follow to get good prices on things...A little time consuming but if you are trying to save some money well worth the time.
When I go shopping this is usually how I do it...
First I visit Newegg.com and using their superior search function I find the product(s) I feel is fitting for the job. I check out their reviews, and price including shipping and tax(I live in NJ).
Next I visit these three sites which I have ordered from and have always had pretty comptetive pricing, Mwave.com, Zipzoomfly.com, and Ewiz.com. I also sometimes glance at specialty sites if I feel the item may be cheaper there or just to check and read reviews. Clubit.com, Frozencpu.com.
I also check the big/retail names just in case there may be a deal, Amazon.com, Buy.com, Tigerdirect.com, Compusa.com, Frys.com, and Bestbuy.com and the like.
Lastly I check these three pricing websites for the item to see if there is any place that may have an amazing price but less than satisfactory customer experience. If it is a low price I try and figure out if its worth it depending on the likely hood that I'd have to return it.
pricewatch.com
pricegrabber.com
bizrate.com
For the last 5 machines I have built(from web surfing machines to gaming rigs) I have used this method and I have saved a ton of money than if I just bought everything from 1 site. Also honestly if you order your parts all on the same day then the chance that you won't get them all within a few days of each other is slim to none. So returning them shouldn't be a problem.