Physical books I buy from a small online bookstore I want to support. Oddly enough, they're not much slower than Prime. Even for books not in stock. Plus, they frequently write a nice note, or slip a free zine or custom bookmark into the package. It's a nice touch, and whoever did the packing has equity in the company. They're worker-owned.
Ebooks are still Amazon, though I strip the DRM immediately after purchase so I'm not locked into the Kindle ecosystem. I may try buying a test book from Kobo or Barnes & Noble to see if I can just as easily strip the DRM from them. If so, then I'll probably switch.
Ebay's been good for some stuff. For Pi hobby stuff, I've started buying directly from the various small businesses that specialize. The shipping is longer, but that's not a problem so far.
Some stuff I do buy from Walmart / Sams. They're about as bad as Amazon in many ways, but they do pay their warehouse people a decent wage. Or they did last time I checked. So it's at least marginally better in that respect, and there's not much worry about fake goods from them.