it depends on the parts. Shock absorbers are a super deal on Rock Auto even with the shipping. I always put to gether a rock Auto order and then do the same thing with Advance and O'Reilly and see who's cheaper.
If you can order parts that are all shipped from the same location, you'll save a lot.
I may have an advantage living in Atlanta. There are tons of parts warehouses in Atlanta from which many rock Auto parts come from. Frequently I've received rock Auto deliveries the very next day - even when ordering on a Sunday night.