It really depends on what you're looking for and where you live.
If you're looking for something close to you that you can pick up, I recommend Craigslist or Kijiji because they separate the site into locations.
If you're looking for brand new items and don't mind where it comes from or how much shipping will be, I recommend Ebay. I've always had good luck with Ebay and they now have a new rewards program!
I've never used Amazon before, so I can't comment.
If you're looking for homemade, unique or vintage items, try Etsy.com. Almost all of the items are handmade and you surely won't be able to find them anywhere else.