Brownells has always been good about S&H. They'll mail small stuff out parcel post in padded envelopes and keep the shipping charges low. Gun items aside, Amazon is great too (break $25 on your order and it ships "free").
A lot of places use S&H as a way of posting misleading prices. In this day and age, people have come to accept the posted price as what they're paying, and S&H as just an extra "cost of doing business". As such a lot of times a $5 item with $5 shipping will often sell before a $6 item with $2 shipping. Makes no sense (the second one has a lower total cost), but that's typically the way the market works.
Knowing this, a lot of merchants will undercut each other by setting their posted price either at or below cost, and then making their actual profits via an inflated shipping charge. This is particularly evident when you see some manufacturers who list a shipping cost for each and every item, and it accumulates for each one.
Also, a lot of auction site sellers use it to get around fees. Ebay, Gunbroker, etc always charge their fees based on final selling price. Shipping is not levied against. I've seen people selling a $20 item for $0.01 (Buy It Now) with $25 shipping for this reason. They make their sale, and make their money, but the auction company only gets a cut of the $0.01 selling price.