This is a great place. Everything Emily H. said in the review below mine is completely true.
The spices here are much cheaper and higher in quality than grocery-store spices. Probably my favorite things from here are:
1) Double-strength vanilla extract. The vanilla extract has the vanilla bean still sitting in the bottle, which is cute, and the vanilla really is extremely strong. You could use half as much, if you wanted, but I usually just use the same amount and my baked goods taste extra vanilla-y and delicious.
2) Cinnamon. They have several different varieties of cinnamon, but it's definitely worth it to get the extra-strong, extra-sweet Vietnamese cinnamon. It makes things taste way better.
3) Turmeric. I know, it sounds weird. But I cook a lot of Indian food and I use a lot of turmeric. Penzey's is super-strong, with a really rich color and nice flavor.
The spice blends are almost all good, too, and they have a really good selection of dried chili peppers.