Between cbid and cigarauctioneer, I've gotten some truly stellar deals. Obviously it's a great place to get their exclusive stuff, but it's a great place for big brands too.
Not to diss or contradict my fine fellows here, but I'd gotten tons of DPG and Tatuaje stuff on auction, most recently a box of Tat Especiales at cheaper than anywhere else. It's a matter of patience. In general, the newer something is the less likely you are to get a deal because the demand is high. If you're going for older nice stuff, you're chances are MUCH better.
TIP: You will typically get better deals by the BOX, but in some cases people are after boxes and don't bother bidding on 5-packs, so you can sometimes get a better deal there! I recommend doing research for a couple weeks and taking notes on prices if you're concerned.
TIP 2: I've had pretty good luck with daily auctions! The # of people looking at any specific lot is reduced if it's only up for 24-hours.
Also, I don't know how often it's updated these days, but there is always:
c-h-i-m-p.com