Scanning through this thread, I see numerous references to Master of Malt, one reference to The Whisky Exchange, and an askance mention of Royal Mile Whiskies.
Given the thread's topic, I thought it useful to consolidate some links and comments:
Master of Malt samples:
http://www.masterofmalt.com/
The Whisky Exchange miniatures:
http://www.thewhiskyexchange.com/
Whisky Samples:
http://http://whiskysamples.flyingcart.com/index.php
Royal Mile Whiskies:
http://www.royalmilewhiskies.com/
I've spent over a couple thousand dollars (I'm USA) ordering from Master of Malt, The Whisky Exchange, and Whisky Samples. I've not ordered (yet?) from Royal Mile Whiskies. Most of my purchases have been from Master of Malt.
The first three sites accept credit card and PayPal, and perhaps other options. Royal Mile Whiskies appears to only accept credit cards. Also, currently (February 2013) Royal Mile appears to be unable to ship to the US, but that sort of thing can change---if you're US,
check here.
Reading this thread, you can tell that
Master of Malt does well in this category. I heartily agree. They have a lot and they delivery quickly. I also just generally prefer their site: it's laid out well, easy to navigate, easy to understand. I wish they offered slightly larger samples, say, 5 cl, but, eh, they don't. 'Tis what it is. I've ordered probably a dozen regular (70 cl) bottles and perhaps two dozen 3 cl samples. They're great.
The Whisky Exchange has offerings that Master of Malt does not have, and all their samples are actual miniatures (5 cl) from the distillers. I understand that some folks are collectors of miniatures; personally, I'd rather drink than collect! I'm not as fond of the Whisky Exchange website, but I've ordered from them a couple of times. The Whisky Exchange shipping fees (as of January 2013---my last order with them) are much steeper than Master of Malt, so watch out!
Whisky Samples is also affiliated with
The Bonding Dram though I'm not exactly sure how. The site is tougher to browse than the other two sites, but I ordered a half dozen 3 cl bottles in December 2012. Delivery at that point was pretty slow, but maybe was due to the holiday season. Their shipping was reasonable---probably no more than Master of Malt---but I haven't actually compared apples to apples. They have some things Master of Malt doesn't, so they are worth considering.
All said, all three sites were pleasant enough to order from. However, if what I wanted was available on all three sites, I'd almost certainly pick Master of Malt. Still, I think each site offers something unique.
At this point, I have no experience with
Royal Mile Whiskies. The site offers miniatures, akin to The Whisky Exchange, but they appear to have less selection. Do an advanced search on 0.05 liters (5cl). The web site claims to have more miniatures available in their actual store in Scotland.
Hope I've added something useful to this thread!