Yoox is probably the best place if you know what you're looking for (they don't say much other than the brand names and their sizing information can often be ambiguous until you decipher it). However, the delivery speed is great considering they're shipping from Italy and they have a huge selection ranging from fashion brands like Prada and Gucci and hi-end clothing houses like Borrelli and Isaia. I think I even saw them selling Dockers, though I wonder who in his right mind would shop at Yoox just to get a pair of Dockers.
Sak's 5th Avenue has a site which is pretty good for shoes. It's only really useful for people living in rural areas, who can't get brands like ferragamo and prada there. Aside from that I doubt there's anything you wouldn't find in their stores and the prices are usually full retail.