I'll add my Canadian 2 cents...
Digikey gets most of my business. Overnight delivery, even when I have ordered at 4pm the day before, great prices, cheap shipping ( I usually pay 7 dollars .) I can get it all at one place, excellent online database with current prices and inventory, great selection from resistors to embedded sytems etc, etc.
Electrosonic used to get most of my business, but I find for what I order, they don't have stock, and the lead times can be just rediculous. They seem to cater mostly towards the industrial/factory sector now, so if you need more along these lines, you are OK. I can drive to Electrosonic, it's 15 minutes from me, but their delivery rate is more than Digikeys from the USA, and the prices are not always competitive.
Active has good deals on equipment, and tools, have used them for some components, not bad. Mostly I have dealt with their once parent company Future. If you pick and choose carefully, their prices are not bad. They seem to have tried to grab the general component business Electrosonic is ignoring.