http://www.games-workshop.com/
um, obviously. Theyre not cheap, but occasionally their flat rate postage (and auto-deduction of 17.5 % VAT, btw) can work out in your favour. e.g. large army case: postage 7.50, VAT reduction: more than 7.50.
http://www.forgeworld.co.uk/
pricey, yet beautiful. Postage is surprisingly reasonable.
http://www.heresyminiatures.com/
Heresy Minis, run by Andy Foster. Absolutely top bloke, and really, really nice minis too. He always includes a hand-written note with every order, just saying howdy or whatever. V quick responses to questions n stuff, too.
http://www.waylandgames.co.uk/
There are lots and lots of rather dodgy general-mini-sales sites out there, and I've been stung more than once. Wayland are not one of them. They actually sent me a free sign-up-to-our-newletter ghoul. All the way to Japan, for one mini. Absolutely free. Good stuff. Also much, much cheaper than GW.
http://www.pegasomodels.it/products_en.asp?idcat=44
Ive never ordered a single one of this company's models. But I will, one day. When I'm a real painter.
WARNING! For those who would go wandering round the site, there are some very realistic (well, idealistic, actually) models of nekkid ladies. Be warned. No minors, and all that...
http://www.studiomcvey.com/
Y'all remember Mike McVey, doncha?
http://www.coolminiornot.com/
Finally, the biggest, acest collection of minis anywhere. This is where the big boys play. And kick my ass

If I could score over 9.0 on CMON I'd consider myself a painter (and then go and buy a pegaso model...)
They also have a very varied shop, where you can get a whole variety of non-GW models. If you want to spend all night browsing around mini web-stores, then just click on some of their banner ads, or go to their shop and then the homepage of the stuff they stock. (notably Avatars of War and Wyrd minis, but there are a lot of good ones.)
ps: brushes and stuff:
I buy paint from CMON (GW, Vallejo, and PP), and have just bought brushes from here:
http://www.rosemaryandco.com/pure-kolin ... 77_84.html
I've read good things, but I'll let you know
and for those who want to get technical...
http://www.airbrush.co.jp/english/index.html
If anyone knows anywhere I can get stuff, especially paint and good kollinski sable brushes, please let me know

-d