I was just thinking about writing a post about some of my best finds, but it seemed a little self congratulatory, but since you asked (heh)...

Craigslist and eBay are obvious but I have actually made out like a bandit on these sites. My personal favorite on eBay is the lockset discounters and faucet discounters 'stores' which are actually liquidation channels for the manufacturers of Price Pfister faucets (and hardware) and Kwikset door sets. I bought 1 faucet, 1 shower set and 1 bath drain from the Faucet discounters all for crazy cheap. Shipping is a bit steep ($10) but it's brand new sealed in box stuff that has been discontinued (or is liquidated for another reason).

I bought two Kohler sinks for $45 each of eBay. They were regularly $100 at HD and I have no idea why the guy was selling them cheap, but I got 'em.

I bought cabinet pulls from eBay from YourHomeSupply, and paid about $2.75 for cup pulls which seem to run $3-$5 other places (like overstock.com).

On craigslist, I'm currently trying to finish a sale with a guy for 3 boxes of 6 ea. of recessed lights (these ones) for $25 per 6 pack. I've also gotten an old sink to refinish and an old dresser to turn into a vanity from CL. I found a contractor who is dumping left overs from a job for very little that I keep meaning to go check out but he's 3 hours away and our build is not yet to the point where it makes sense.

In general Google shopping has been one of my best tools for getting deals. I find something I like, pop it in Google and see if I can't beat the price or get free shipping or whatever.

For sinks try:
M R Direct

I just got ORB door knobs for $7 each from True Value (with maybe $10 shipping?) these ones here:
Bronze Privacy Door Knob
I also bought one of the passage ones from them.
For light bulbs, I was at HD the other day and noticed they have really cheap halogen bulbs for recessed lights in contractor packs (not with the usual light bulbs) but I don't know about flood CFL bulbs.

And that's about it. I will definitely be back if I think of something else, but I'm looking forward to what others have found.

We found eFaucets to be good for every single faucet in our home (except the kitchen sink -- Home Depot). They have free shipping -- and it was fast.

We bought cabinet pulls off eBay.

Scour Lowe's and Home Depot as well. Sometimes you can find good deals there.

We bought our vessel sinks off Overstock.com. They tend to have good deals on faucets as well.

We got several crystal chandeliers from wegotlites.com. I believe they are in New York. Inexpensive, but they look like a million bucks.

For this house (just remodel, not whole build) we got several things (lights, vanity, mirrors and furniture) off of Homedecoratorsoutlet.com It is owned by Home Depot. Their regular store has some cute things, but their outlet can have great prices. I was pleased with their customer service too.

I was able to find all the matching doorknobs for our basement finishing (5 doors) a light, and some Delta faucets at Tuesday Mornings that have worked out well.

Here, Lowe's has clearance you just can't beat. But it is very hit or miss.

For the new house, I'm eyeballing IKEA for the kitchen cabs and even thinking of doing their butcherblock for countertop and stain it dark walnut to match the floors.

I do go to our local Habitat for Humanity Restore and look. On occasion they have fabulous things. But it is very hit or miss too. I've gotten a lot of bathroom hardware there, like towel bars etc...

For the new house, I have decided to purchase all faucets from a local mom and pop plumbing supply store. They are awesome, will deliver onsite for free(I've had trouble with toilets breaking in transit before, this makes that their problem) and they are giving me great pricing since I'm buying a house worth of faucets.

I'm looking forward to reading more answers to this, I love a bargain!

Thanks for your answers so far.

I found some nice Hunter ceiling fans at Tuesday Morning and would have bought doorknobs today if they had enough in stock. I might visit some other Tuesday Morning stores in my travels this weekend. Bet my husband will love that!

I got some bathroom fixtures (towel bars, robe hooks, TP holders) at Bed, Bath, & Beyond the other day. They accept their own expired coupons, too!

I'm frequently at Lowes & HD searching for clearance. It can be exhausting though. We have gotten some great deals on all the low-voltage wiring stuff and exterior lighting.

Keep them coming!!

I have saved tons of money online by searching "whatever I'm looking for" with the word "clearance".

Locksetdiscounters (on ebay, I think) had deeply discounted door knobs we used for my daughter's house.

I got a great deal by using the "whole house discount" at the hardware hut (online).

There is a plumbing supply store, Winnelson, where we got all of our pex and sinks, tubs and toilets. Except the kitchen sink, that was Blue Bath, and I got that on clearance.

I got most of my flooring from a flooring liquidator place that I think is only local to Missouri. They have changed names several times (which worried me a little), and now it's called Surfaces Direct. It's off-spec, but our rustic house style didn't need perfect floors. I also bought a couple of skids of laminate through Build Direct (online). They were great to work with. Actually, I also bought a couple of skids of laminate from Best Laminate (ebay), too. They were super to work with.

I got a great deal on some furniture from ivgstores, but their customer service and communication is dreadful.

Our appliances came from Factory Direct Appliance, but I think that's an area store. I know there are lots of places like that, though.

I have gotten some fabulous deals off of craigslist.

Our cabinets were from a local cabinet guy, and were much cheaper than anywhere else. It seems like local craftsmen were less expensive in almost every case. I had a young man make some log furniture for us, and he was EASILY half the price of buying from a store. And it's great stuff, because he takes pride in his work and needs "word of mouth" advertising.

I think, mostly, I saved money by ASKING if there was a less expensive option that still gave me what I wanted.

Homeandstone.com for plumbing fixtures and shopamerock.com for Amerock knobs and pulls. The latter is part of knobs4less, but for some reason if you go through the shopamerock website, the Amerock knobs and pulls cost less than if you shop through the knobs4less site.

For cabinet hardware and door hardware, hardwareaccents.com
For our lighting I purchased quite a bit from bellacor.com but I looked there the other day and they didn't have very much free ship like they used to :(

I would never have thought of it. But my flooring installer directed me to a two week sale at Costco Canada for 14 mil laminate (including a sponge bottom) rated AC3 at C$1.43 sq. ft. His price for similar was C$1.59 plus underpad. HD, Lowes and Rona couldn't come close. So I snapped up 1150 sf. Costco even loaded it into my trailer. "You're on your own, Dude," at the building suppliers.

(I was a Costco member for a year or two and didn't see any food bargains unless you're addicted to namebrands in cafeteria-sized quantities.)

Most everything on ebay or craigslist.. but mostly ebay. Appliance researched on here in appliance forum, checked for model numbers we wanted and searched ebay every few days...saved 50% of retail and in a few cases more. Brand new in box with warranty and high seller feedback for assurance. It worked very well for two projects we did.