I've been buying a lot of (way too many!) parts for a (supposedly) cheap RC51 track bike I'm building. I've found there is no single source for best pricing, and have bought from a number of sources. I prefer to support local brick and mortar when I can, but sometimes the price difference is simply too much to ignore. The Canadian distribution system doesn't help, with limited stock selection and unpredictable mark-up. The fact that Motovan nearly went under and didn't pay a lot of suppliers added complication, as not all lines (including big ones like Vortex) have been picked up by the others.
Maybe it's exchange rate fluctuation, but I've had a lot of luck getting stuff from Europe lately. Brakes, for example. I found some Brembo bits from an online retailer in Italy called Carpi Moto, and they had discs and a master cylinder for almost half of what I was quoted by a local shop, and 33% less than I could find with any online Canadian retailer. Shipping is marginally more, but can be surprisingly quick.
Sometimes it's worth going direct to the manufacturer if they have an online store. I got some R&G crash protection bits (fork slider, exhaust sliders, etc.) straight from their UK website for a much better price than any reseller.
No one retailer has everything you need at the best price. Bayside is probably the closest you'll find for a Canadian webstore, but they stock very little, so shipping times can be a bit longer. My approach has been to research and narrow it down to the item I want (for example, a D.I.D ZVM-X chain for a 520 conversion). I then Google around for pricing that includes shipping, and then call a local shop for their price. Even if they're somewhat more, I'll stick with the shop for obvious reasons. But if the price is way more (30%+ is not uncommon), then I'll go with the cheapest online price.
All of this is multiplied by 10 when you have an older bike, as stock can be extremely low, and sometimes you are simply lucky to find something that's been discontinued, price be damned.
(One last thing: for cross border orders, always pick the mail version when possible. Canada Post doesn't do the random brokerage fees that the couriers do, and often things will simply arrive without even tax being added. The couriers (UPS, DHL, etc.) will charge unpredictable (and occasionally exorbitant) amounts for taxes, duties and brokerage, and there's zero recourse if you disagree. None are perfect, but I've had much better luck with the postal services delivering boxes without looking like they've been through a war zone and then dropped off a cliff, too...)
