it all depends on what you want really
there are now several sites, many of which have been mentioned here
to me there are 2 categories,
1. Unbrandeed player
2. branded player
for unbranded players:
www.uxcell.com
www.dealextreme.com
these are 2 i have ordered from in the past and would recommend on service. They have cheap unbranded clone players of varying quality, i have had to send more back than i have kept, but the recommendation goes on the fact that they are willing to sort out problems and treat you very well as a customer
Branded player
www.mp4nation.com
this sites main store of players are brand name Chinese players, these are of a higher quality and also have support in terms of firmwares and repairs. mp4nation is also a valid seller who will treat you well also.
I have only recommended sites that i have actually bought from BTW
so the choice is your really the first of which is do i want a branded or unbranded player, i have personally been down the unbranded route myself and learnt the hard way. I now only buy branded players