Depends on your priorities really. If you only want to deal with one supplier, you'll have to overlook the fact that you might pay more for some stuff than you would elsewhere, or that the source of the parts might not be to your preference.
I tend to shop around and compare item prices, delivery costs and whether genuine/OEM/aftermarket (as some things are best kept 'genuine'). You also have to take into account that many of them only have free delivery over £50, so buying say, £200 worth of stuff from Paddocks, then going to Island 4x4 for something else worth £20 is going to incur delivery charge and probably wipe out the saving you thought you making!
For every recommendation you get, someone else will have a horror story to tell. Personally, I find Island 4x4 to be pretty competitive with price, but have also used Paddocks and Rimmer Bros.