For food I go to Shirley Feed... They're a giant warehouse stacked with every type of food for any type of creature you would find on a farm.
For "things" like shampoo, brushes, clippers, etc.... I go to petsmart just because it's close to work & really cheap. My problem with mom & pop type pet stores is they never carry things that I like, so while I browse them a lot, I never end up buying from them.
For treats, I go to petco or pet supplies plus if I'm near it... there is one private place in Hampton Bays I like to get treats from if I'm in the area.
For last minute or "oh crap" things I go to petco because there's one close to my house and there's one on my way to my training center.
For any type of med type things I go to entirelypets.com
For collars/leashes... I don't usually actively search for them, it's either last minute or I'm in a store(or fair, or browsing online) and see one I like, so then I buy it.... so it could be just about anywhere... I've gotten them from petco, petsmart, vet's office, mom & pop, online, craft fair, etc...
ETA: I voted "I like cheese"