get it all at Amazon
Amazon carries many beauty lines, often reselling from Sephora and other established online make-up and cosmetics stores. Prices are ok, but if you buy other things from Amazon (and who doesn't) you can sometimes save a little on shipping.
still going strong
One of the online giants, Beauty.com is also available via Amazon. Plenty of selection, decent prices, a pretty safe bet since Beauty.com is a long established retailer.
incredible prices - great selection
From Hong Kong, Sasa is one of the best places to buy cosmetics and make-up. So far Sasa has the best prices we've seen, and shipping is very reasonable.
Queen of the hill
Been to a Sephora store lately? This dot-com success story started off as a website, and now has opened many real-world locations. Just like the shops, Sephora.com has a great brand selection, including thier own signature lines.
Taiwan's answer to Sasa, StrawberryNet has a comparable selection of brands. Well worth a visit.