It depends on what your shopping for, but in general I would recommend PriceGrabber and Shopzilla.
It really depends on what your looking for (i.e. what product your shopping for). My two favorite are PriceGrabber and Shopzilla.
PriceGrabber is great for consumer electronics. They also have a great website too that is super easy to use.
Shopzilla is great for apparel and home and garden products. They have a ton of clothes and their kitchen, home & garden selection is pretty awesome. Another great thing about this site is that they own bizrate, so their merchant ratings are pretty darn good.
|Sources: my opinion|
My preference is http://www.pricegrabber.com
I think Nextag is the best comparison site
I've been using them for a while and find that they have the most information and the most intuitive site. The user reviews are very helpful and the price chart next to each item can give you a very good idea about when the best time is to buy certain big ticket items, like TVs. Great site.