I always shop around online even using Google shopping search engine which will have all the sellers including Ebay & Amazon. While Amazon customer service is superior you just need to make sure whatever you buy is being sold by Amazon otherwise its like buying from Ebay and ignoring vendor reputation. Unless the item being sold on Amazon by another 3rd party vendor is also being sold on Ebay by the same vendor with great Ebay reputation, I wont buy it. In other words sometimes you can find an item on Ebay cheaper on Amazon by the same good-reputation vendor, other then that unless Amazon is exclusively selling it, I wont buy it cause I have had too may return experiences on Amazon 3rd party items.
I think most people who buy from amazon, buy this way. They buy the item only if sold by amazon or if it is fulfilled by amazon. If this is the case, then we're really comparing apples to oranges here.
ebay = small time sellers
amazon = large online retailer
Other large retailers like best buy and even walmart are finding it hard to compete with amazon.