First up has to be Beads 4 Crafts. They have a fantastic range of beads, threads, findings and bags/boxes for the finished items. And you get a free pen with every order (my husband has finally twigged that the number of beads 4 crafts pens around the house demonstrates how many orders for beads I've made!!). They are great for cheap beads, especially if you like to buy in bulk - you can get 100g of seed beads for £2.49 which are fine for stringing, but not regular enough for bead weaving. The website is easy to navigate and find what you're looking for, and postage is only 99p.
The Bead Merchant is a bit more expensive, but you get what you pay for. They are great for when you want regularly sized seed beads. Prices range from around £1.30 - £2.90 for 10g of Miyuki seed beads, and £1.70 - £.3.25 for 5g of top quality Delicas. They also sell Nymo, which is the thread I like to use, as well as Fireline and other stringing materials. Postage starts at £2 for orders under £20.
EJR Beads are great for extra special feature beads. They have lampwork beads, polymer clay beads and ceramic beads in many wonderful colours and shapes, but some are very expensive (usually the ones I like best!). The Charlatan Collection is my favourite for affordability, with packs of 10 beads costing around £1.30. There's also a wide variety of stringing materials. Postage starts at £1.75 and rises with the weight of your order. And you get a free gift for every £15 you spend :-)
And if you live near Cambridge (which sadly I don't any more and I miss this shop very much) there's a wonderful treasure trove of beads at The Beaderie. The owners are very friendly, and always willing to chat and offer advice. Unfortunately they don't sell online yet, but if you're ever in Cambridge it's definitely worth a visit.