Small Batch Cigar. Use "KATMAN" for 10% off any purchases. Fast shipping and fantastic selection. Also sign up for their emailing list. Yes, it is one email per day, but they have great sales and almost everything comes up for 15-25% off (and more) sooner or later. I have great luck finding a lot of boutique blends here. They offer reward points for each purchase, too.
Cigarpage often has great pricing, but lots of garbage cigars to wade through to find the good stuff, which is often out of stock. They also offer rewards points for each purchase.
I used to haunt Cigarauctioneer, but their selection has been abysmal for a couple years, now.
Beyond that, I just use web searches if there is something specific I am looking for, hone in on the best price, and if a site looks sketchy, another web search should be able to pull up general opinions about the business as a whole.
To flip the script, I'll add a couple places I would avoid like the plague:
Thompson Cigar - they sell your info to anybody and everybody. You will receive a glut of mail and email and telemarketing that is near impossible to stop. They also have a poor track record for customer service, their prices are on the high side, and I have read enough complaints over the years of mysterious charges and incomplete orders.
Cigars International/Cigarbid - never mind they are co-owned with Pipes and Cigars and nevermind their past in manufacturing and selling counterfeit Fuente Opus cigars circa 2008-2011 - their cigars typically are overhumidified or underhumidified, packaging is abysmal, and customer service is non-existent.
Happy hunting!