Xreload has the best inventory imho with good prices. Shipping isn' free but FedEx (for powder+primers) is very fast, faster than UPS and canpar (don't get me started on canpar...). If you're in BC and buy from xreload, you only pay GST.
Budget and western metal have good prices, but shipping is a bit expensive unless you order for more than 300$ at Western. Their inventory is really limited compared to x-reload.
Western has good prices on component (bullets and powders). But their prices on equipment (press, dies, etc...) is totally out of whack, the same item can cost 30% more at western than at Budget, x-reload or even amazon. To give you one example, a lee loadmaster:
355$ at x-reload
390$ at budget
470$ at western metal
Budget and xreload will charge about 20$ shipping. Shipping charges don't increase very much when the shipment increase in size/weight, so if you order multiple accessories/brass/dies they're roughly shipping free after that 20$.
I also sometimes order from cabela's because they offer free shipping and sometimes their prices are good on some stuff.