DSW is great-head over there a few times a year. I love looking at Zappos to compare shoes/details/pics etc and then I may look on Ebay or get off my keister for some serious shoe shopping.
Here in Toronto we have ALDO shoes in every mall but i've also seen them in the US and they have a USA website! I love their shoes and everything they sell and they are very comfortable as well!
I usually just walk around til I find the style I want or something catches my eye. But Macy's or Nordstroms carry pretty ones. Sometimes I get luck and find a nice pair at Payless.