We used MSC for years and was very happy. Shipping was here next day if not it was two days and the company rep was always helpful. Grainger wined and dined up management and forced us to switch. The service has sucked since!
I try to source as much as possible locally if possible. I use a local welding supply outfit(Harris Industrial Gases), who have two locations and have actually been around since the early 1900's. I buy all my consumables, gases, gloves, safety equipment, etc from them. They even carry a good assortment of steel.
Other than that, Im fans of McMaster(gets to me the next day), and Reid.
Fastenal has got to be the worst we have dealt with. We use a local bolt house now. Most of the other stuff is from High Quality Tool, Grainger or Indiana Oxygen. Airgas down here doesnt stock anything but Argon.