Summit Racing and JEGS are both very similar: Both ship very fast and have competitive prices. Plus both will send you a fancy color printed catalog if you like that kind of thing. Often they have free shipping.
For more CJ-specific parts, I like Quadratec and Morris 4x4 because the prices are OK and they stand behind what they sell.
have great prices on some things, but you never know. It's hit and miss, and if you order parts that happen to ship from different warehouses, then you can end up paying a lot for shipping. I always check rock auto just in case because you never know. I had to return a part to them one time (broken brake drum) and they handled the return just fine without any problems.
For screws and bolts, if I can't find things locally, I will use http://www.albanycountyfasteners.com/
. If you buy a lot of pieces, then paying $5.50 or so for shipping is worthwhile. They carry all kinds of stuff, but I buy just stainless steel screws and bolts from them. You can buy by the single piece, or larger quantities. Each part (or parts) ships in a small sealed plastic bag with the contents clearly marked which is helpful if you can't determine the size by looking at the parts.
Then there are vendors that only offer a single part (the DeLorean place that sells rollover valves) or a small selection of parts (the Ebay guy who sells the apparently authentic T5 shift boots). Sometimes you have no choice but to buy a part from a vendor like that, although I've had good experiences with both.