I typically like to go to NAPA, Carquest, or BAP for auto parts. But I have to say that this AutoZone has saved my ass more than once, for the sheer fact that it is ALWAYS open (literally, 24/7!), and it's close to my house.
I also use their website pretty often, for the repair info section, when I don't have my shop manual nearby. It even has diagrams of systems and such.