Microchip Direct.

They don't seem to have the entire Microchip range available, but there is a nice selection of PIC devices available, including some dsPIC and rfPIC.

From my (hobbyist) point of view, having a wide range of ICs available (in quantaties as small as 1!) is brilliant, as is access to many (possibly all, I haven't checked) different packages - not only can I easily get hold of a PIC18F4550, but I can choose to get a DIP one.

All you need is an email address and a credit card.

I ordered two PIC18F4550's and two dsPIC30F4013's on the 18th January. They emailed confirmation mentioning that they were going to be shipped from Thailand. The chips hit the city on the 25th (in to Christchurch, via Auckland) and actually made it to me on the 26th, since FedEx wanted me to leave them a signature. One week, just under $90 NZD (started with ~$60 USD and then gained visa currency conversion fees) and they're delivered to my door.
Probably not the best way to purchase chips that are available locally (at DSE, Jaycar, or SICom) but none of them carry a wide range of anyone's chips, nevermind solely Microchip...