I'm beginning to expand my interest into vintage military arms (WW I in particular), and have found www.Gunboards.com to be the place to go. Lots of great info there, and the classifieds section is incredible.
I browse and have bought several new guns from Davidson's and I have used a statewide forum to buy a couple of guns. I went in person to inspect and purchase the guns. I imagine most states have such forums.
CDNN has excellent prices on what they have in stock. Whittaker Guns has great prices as well and they have a huge stock. Over 7000 guns. They are still building their website.