6pm is a discount site that sells shoes from past seasons. I like it a lot for scoring bargains. You can find shoes there for under $20 and they always have great promos on certain brands each day. They charge $6 flat rate for ground shipping but the discounts more than make up for it.
I've been a bit disappointed with Zappos lately and have been shopping a lot more on Endless. Unlike Zappos, they frequently have substantial sales and clearance prices. They also price match (which Zappos no longer does), and they have brands that Zappos does not (but not vice versa, in my experience).
I also like regular old Amazon for shoes, and you'll usually find Endless' complete stock on Amazon, frequently for less since they are owned by the same company. Amazon gives the usual super saver shipping, which is probably why their shoes cost less if you buy them there than on Endless. But this only sometimes applies...usually only when the shoes are on sale, in my experience.
I have also bought from shoes.com. They sometimes have really good coupon codes for 15%-20% off. Their shipping is relatively slow compared to Endless and Zappos, but it's still at least free. I really only use them when they offer the lowest price, have something no on else has (a style, color, or size), and if I have a discount code. They don't really offer anything else that Zappos and Endless haven't covered and their brand selection isn't as broad.
Shoemall and Online shoes....never use. Can't comment.
Solestruck and Shoefly.com are two other ones I know of, but they are MUCH smaller. Still, you might find good deals there.
DSW is okay for bargains too but I prefer to shop in the store. It's so nice to be able to just pull the shoes out yourself and not wait for some sales assistant to grab them from the back every time you want to try something on. Their b&m stores also have additional discounts that you can't find online. OTOH, they frequently have coupons that you can pile on (I think the limit is 5 per order) which are only available online. You can also return to a DSW store, which is convenient.
In NYC we have David Z. and Shoemania as our main b&m stores, so I sometimes check their sites too.
Yes...I buy shoes online a LOT.