It's pretty hard finding a good deal on good quality classic Sega goods. Here's a quick sheet of places to start looking online. Good luck!
Internet Shops
These will be your first stops simply because you can get in, get out, and get your goods shipped directly to you.
Play Asia
I chose to put a Play Asia banner on SegaFans not because they're the only one offering compensation (they aren't), but they're one of the few very reliable retailers offering the games and hardware visitors to SegaFans want. Import games, crazy adapters, you name it. Any purchase you make through the Play Asia links on SegaFans do help me pay for games and hardware I buy for the site.
NCSX
NCSX has been a good import game shop for many years. Along with new releases, they've continued to maintain a stock of Japanese Saturn, Dreamcast, Mega Drive, and 32X games for many years. You can't go wrong with NCSX.
GenkiVideoGames.com
GVG is a UK-based shop that offers import games for many classic Sega consoles. The store owner actually used to post on SegaFans for a brief period of time.
Used Games
Never tried them, never heard of anyone buying from them, they're not the classic villains from Buy-Rite. There ya go, all I know.
Video Game Connection
Run by a good guy named Mike Gedeon, who also runs the CCAG show.
Amazon
Believe it or not, Amazon.com is a good site to shop for new and old games. Just realize that much of the older stock is sold THROUGH Amazon.com by third parties, much like a more permanent eBay listing.
Auction Sites
... /groan... Auction sites can be a pain sometimes because you're dealing with random individuals in between you and the stuff you want. Sometimes, it's the best place to start looking, though.
Game Gavel
An auction site started by a gamer for gamers. SoCalMike, as he's known around various game forums on the internet, is a good guy and has created a better alternative to eBay. Most of the people posting auctions are a little more professional than your average ebay seller.
eBay
No comment, baby. Seriously. Don't ask me -- ALRIGHT ALREADY!!! eBay has been a popular auction site for years and it's "okay." Research what you're buying and who you're buying it from. eBay has made a lot of decisions in more recent years that have caused a lot of good people to stop selling on their site. Still, it's there, and if you can't find it anywhere else...