I mostly use ebay and RobotKingdom for my Transformers shopping.

ebay is, well ebay, I've had some good experiences and some bad ones like we all have.

RobotKingdom are good, I've used them without any major issues before, one time they didn't have one of the items that I ordered but a quick email and they refunded me the money for the figure no questions asked.
I'll also note that even though I have selected Air Mail each time they have upgraded it to EMS at no extra charge.

I've used HLJ once only for some Gundam model kits, they arrived quickly and safely packed, no hassles dealing with them so I'd use them again.

I have just started using BBTS, haven't received anything yet but I've made an order using their "Pile of Loot" system, it seems like a great way to save on shipping as well as allowing me to spread out my purchases over time.

After reading about some of the other stores mentioned here I'm also thinking of trying out AmiAmi and HobbySearch, though they don't seem to have much in the way of transformers atm