Definitely BrickLink. You can search for a seller in your state, pick one that seems to have lots of parts for sale (the more they have, the more likely you'll find what you're looking for from one seller). Alternately, once you've signed on (free), you put the parts you're after specifically in your 'wish list' and BrickLink will tell you which sellers (here or overseas) that have all or most of the parts you want.

It took me a little while to master the site, but it's worth it. I bought huge sets piece by piece and saved hundreds of dollars compared to what i would have spent if I bought the sets whole in the aftermarket.

The sellers are very fair and great to deal with in my experience, but like eBay, make sure you read the feedback on sellers carefully to make sure your buying from the most reputable. There's an Aussie seller who's having a sale at the moment, but I'm afraid I deleted the email - Brucy-something? Sorry, can't remember.

Best of luck!