I get a lot of questions through email or in the comments of my posts and I usually answer them individually but this one was going to be a long answer so I thought I'd post it and hope that it's helpful for others as well!
Hi Lo! Although I'd rather purchase my shoes in a retail store as I love being pampered by my sales associates, I do shop for shoes online frequently. I rely heavily on customer reviews for online stores so I'm glad that you asked this question. I am happy to share!
Here are the ones I frequent the most:
Endless - Although they don't have the higher end shoes that I typically buy, they have great selection and you can't beat FREE overnight shipping and returns. I also like the way they organize things and you can select by size, color, heel height, etc... I have yet to have a bad experience with them.
Zappos - Fantastic selection. I like that they have a Couture section now. They have a ton of brands that I usually only see a few styles at the store but Zappos has all the styles. I am particularly fond of Alexander McQueen shoes and they are the only place that I can see the collection. Free Shipping and Returns is also an added bonus. Oh and it says that shipping takes 4-5 days but I think almost every time I've ordered, they've upgraded me to overnight shipping. I only wish they would get in my staple brands like Jimmy Choo.
Neiman Marcus and Saks - I'm grouping these together because I usually find the same styles here. If I'm looking for a pair of shoes and one doesn't have my size, I can usually find it on the other site. This is where I buy my Jimmy Choo's, Gucci's, Louboutin's etc... Shipping and Returns are meh-okay only. The wait time for shipping can be excruciating long sometimes but other times it ships quickly. I hate the waiting game of online ordering. Sometimes you can score great designer shoes on sale but you have to be quick because their sizes go out fast.
Eluxury - Great brands. They have a lot of styles that I never get to see in stores. Not a fan of the high shipping cost ($13.95 for most things). Return policy (60 days) is alright. I like places that just have automatic return labels that you just stick in the mail. They require you to go to USPS/FedEx, etc. to return it.
For shopping in retail stores my best tip is to befriend the sales associates. They will do wonders for you. I rarely buy my designer shoes full price. The only ones I do are the ones like the Louboutins below that I know will never go on sale. I have specific sales associates at certain stores that will tell me when and what is going on sale. If I don't have a sales associate that I always buy from then I just ask any sales associate if they know when the next sale is. If the sale is close my next question is if they know what is going to be on sale. Most of the time they do. I've had sales associates walk around the floor with me and told me to pick out which shoes I want and they'd check if they were going to be on sale or sometimes they just bring out all the shoes of the brands that I like in my size. I do most of my sale shopping this way as I don't have to fight the crowds and I get first pick of my small shoe size. It is a win win situation for both me and the sales person!