The fuel filter is a pressure regulator as well, it has to be right. But when it comes to brake pads or light bulbs or a battery - I'm more inclined to buy what is local (altho I special ordered my brake pads because of the good things I heard about Hawk pads).

Be careful with electrical parts - if it doesn't say BOSCH, dont buy it. That means you won't be buying crank position sensors or other sensors at Autozone. And BOSCH does not always mean expensive, my CPS was $47 shipped from germanautosupply.com Autozone wanted $80 for a china-made generic part, and the dealer - well, forget the dealer, it woudl be a Bosh part but I've heard of people paying well over $100 for a CPS from a dealer.