My newest favorite thing on the internet is Invisible Hand. It's an add-on for Firefox (also available for all the major browsers...but seriously, you should be using Firefox...trust me, I was an IE holdout for the longest time) that does price comparisons for you.
When you're looking at a product available for purchase (on participating websites--but Amazon is a participating website and I start the majority of my shopping there), a thin bar shows up at the top of the screen saying either, "Save [percentage]! This item is [dollar amount] cheaper on [other website]" or "This is the lowest price." You can then click directly through to the competing retailer's site, or click a button showing other prices with those websites' shipping rates.