Doki Doki Station- This place has a ton of doujinshi to buy, but their prices are a little bit higher than other places.

eBay- You'll find tons of doujinshi auctions here, but you may end up spending a little more, since you're auctioning for it.

Jpngoodskoba- This is a great place to buy doujinshi. It has tons and tons for you to buy, and the website is updated pretty often. The prices are average, but unfortunately, since the doujinshi will be sent from Japan, the shipping will probably cost a little more.

US Anime- I've never ordered from this place, but it looks pretty good. The prices are pretty much what you'll find around the web.