I don't think there are any online megastores that compare to Amazon but I also don't believe limiting my shopping to a single store. As far as pricing, I believe you can get better deals than Amazon in most cases if you shop around (don't limit yourself to a single source).
As an example, I just got a Roku Express Plus for streaming to an older TV.
Amazon wanted $38.88 with free shipping (Note: Even if you don't have Amazon Prime, it ships free standard shipping).
The best deal was BrandsMart USA ($24.88 + $4.99 (7 day shipping)).
I ended up getting it at Walmart for $35.00 and free 2 day shipping. Since I live near a Walmart, I just stopped there while passing by and picked it up (i.e. no waiting on shipping at all).
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Even though I'll pay more, I generally do my Christmas shopping at Amazon (local stores / traffic is crazy around Christmas). The rest of the year, I generally shop elsewhere.
If most of your Amazon shipping is limited to a couple months a year, a monthly Amazon Prim subscription just for those months might make more sense.
If only prime went down to 60/70 dollars it would be a deal.