I think in terms of the RMAs, shipping, prices, and service they're pretty comparable. Sometimes Newegg has a better variety of products within a category, but I like Amazon's 1-Click ordering to speed up the process.
Peripherals that I can hold off on like a new BD drive I always get from Newegg or online because I have a particular brand and model in mind. But I try to buy the core components from the local Micro Center. If they have the motherboard, CPU, RAM, GPU, and PSU I want, I'll buy there and not have to deal with any fear of needing to RMA anything that could hold up the build. On the current build MC didn't have the RAM I wanted in stock so I bought from Newegg and crossed my fingers.
It's always nice when things just plain work.