ipdusa.com is a great company specializing in Volvo parts and aftermarket parts. They play around with Volvo cars and try all the parts they sell. They also construct custom after market upgrades for increased performance or improve a weak area.
You won't find an online parts source that has more experience with these Volvos than these guys. You will also find ample directions and tips on their website + newsletter also.
I get most of my parts at fcpgroton.com. They have great prices and stock most of the typical replacement items. They have more items than on their website so call/email them if you don't see it. Free shipping over $150 in US.
fcpgroton also sells various maintenance kits (eg. timing belt and suspension kits) on ebay for less than their online prices. You might check there first.
These guys also run 10% off or $10 off $150 fairly often. Once your email is in their database, you will get notified. Probably worth a call before you order to know of any ongoing discount offers.
These guys have good prices on some items.
Dealer Only Parts
Then there are parts you probably can only get at the Volvo dealer part store. My local dealer has a HUGE mark up ($18 for a oil filter insert!, $5 at fcpgroton.com). For parts that can only be found at the dealer, a good way is to find the part number and then just google "volvo part_number" and see who is the cheapest.
Darral Waltrip Volvo was my go to source for lowest cost on higher priced dealer items. You might call and check.
If you have problems with your AWD driveshaft, these are the experts. They provide rebuilt driveshaft shipped to your door for about $500 and can sell you individual CVs to repair the worn ones on the drive shaft for about $100 (store on ebay). Volvo charges $1200 and about $300 respectively for these parts.
For whatever reason, I found P2 (V70, S60, but not XC) front struts by KYB (GR2) for like $60 each at this online store. That is 50% lower than anywhere else I have seen. They work great in my V70 T5 so you might check that out. Please NOTE XC70 takes a taller strut and there is no aftermarket choices available at the time of writing (1/2009)
eBay and Amazon
I'm buying more and more of my parts from eBay and Amazon. Often the lowest cost and with free shipping. Great for when just needing a single part for repair.