I've been keeping a list on my Livejournal and thought I'd share. Please feel free to comment with any shops you've ordered from and I'll put them on the list.
I searched through the archives and couldn't find an up-to-date list like this.
Play-Asia - Located in Hong Kong. Probably one of the most well-known import shops, I personally have had nothing less than fast, professional service from them. They'll throw in $5 coupons and candy on some orders.
HimeyaShop - Located in Japan. Mostly recent releases, PC games, and various adult games. I've ordered once and the communication was constant and informative.
Yamatoku - Located in Japan. Yamatoku also does a TON of eBay auctions, and shipping/payment can be combined between shop and auctions. Very good experiences every time I've ordered.
eStarland - Located in the USA. This is part of a east-coast chain store, I believe. They have both import and domestic product and generally seem to have a good selection of accessories as well.
ToysNJoys - Located in the USA. Generally a good selection, however service was poor and shipping was very slow. Not recommended (see comments).
YesAsia - Located in Hong Kong. Free shipping option on some orders. Another good experience.
JapanGameStock - Located in Japan. Found this one thanks to this forum and immediately purchased a few things. Very good communication and fast fast shipping.
I have yet to order from these but they have been recommended or have come up during searches (please check the comments for more info):
National Console Support - Located in the USA. Never seem to have what I'm after in stock, though.
DVDCrave - Located in Australia. Good for non-US English PSP games like Breath of Fire III. Actually, I'm fairly sure my copies of BoFIII and ToE came from here, however they were purchased by an Australian friend. (who says they were quite pleasant)
Japan Video Games - Located in the USA.
Palet Mail Service - Located in Japan. Good selection of reasonably priced used and new games. And the Engrish is endearing.
Superb Articles From Japan - Located in Japan. An eBay dealer with good prices.
Mad Gear - Located in the USA. eBay shop and convention vendor. Good service, can be pricey.
Wolfgames - Located in the USA. Offers free shipping on orders over $200.
ToysOnlineHK - Located in Hong Kong. eBay seller. Has an excellent recommendation in the comments.
Variety Recycle NIPPON - Located in Japan. eBay store. Recommendation in comments and remember, most used Japanese items are in excellent shape.
The Feather Pluckn Famicom Shop - Located in Japan. eBay store. Focusing on Famicom/FDS with some other items.
Video Game Imports - Located in the UK. High prices but rare items.
Hit-Japan - Located in Japan. eBay store. Some items may be slightly-more-used.
RX Japanese Toys and Video Games - Located in Japan. eBay store. See comments for recommendation.
Dream Stars Japan - Located in Japan. Good selection/service but prices are all over the place.
Import Games Japan - Located in the USA. eBay seller. See recommendation (page 2).
Game Choice Club - Located in Hong Kong. (mentioned page 2)
Genki Video Games - Located in the UK. (recommendations page 2)
SuperUFO - Located in Hong Kong. (recommendation page 3)
Other Recommended:
VideoGameFigures.com - Located in the USA. Recommended in comments. Exactly what it says - video game related figures and toys.
Otaku.com - Located in Japan. Has game soundtracks, books, etc. (Actually, I know I got something Ys-shaped off eBay from this place.)
Akibahara Shop (seems to temporarily be closed). A place for arcade parts. (see recommendation bottom first page)
Japan-Export - Located in Japan. Electronics. (see recommendation page 2)