I live in Greece when musical equipment is expensive, so searching the net I found that this site is what I need:

Thomann in Germany

Of course you can always bid and buy from ebay. I bought 2 of my guitars, the boss dd-5 and my shure mics from ebay.

Any other sites in Europe worth knowing?

Ibanick

yeah, the Germen sites are cheap!

try:
http://www.musicstore.de/
http://www.musikproduktiv.de

there are more of those stores but I don't know them... just search with google. But you have to keep in mind that the setup won't be as good as buying at a local guitar shop!