Rich, it depends really on what I'm getting. If it's a loco, I can usually get it cheaper in the states, including shipping and in the case of sound fitted, cheaper than the UK despite the risk of customs and P&P. I usually use http://www.modeltrainstuff.com or http://www.trainworld.com for the states.
There is a good shop in the UK called Model Junction http://www.modeljunction.info and I buy a lot of freight cars etc from there. I have bought some locos there too, for instance they have a good sale on non sound Atlas locos at the moment, and I've snapped up a few. They even test them before posting them out and give you a guarantee saying so. Postage can be a bit pricey though, but great service and website.
The signal box http://www.thesignalbox.co.uk also carries some yank stuff, and I've bought some rolling stock from them too.