Good practice to check the dealer first for parts pricing. There are certain things that Goldwagen does better (Wipers, cabin filters, bulbs, various fluids etc). There are also cheaper brands that you can go for as equivalent parts. However in my case I'd want to buy from the same manufacturer that does the OE part. In that case, they are seldom significantly cheaper (on M cars anyway).
Even where parts shops are cheaper, if the gap is not too different it's just easier to get it from the dealer especially if you're buying a bunch of other things anyway.
BMW: Deago and Shaun (when he was still there) were always better than Goldwagen be it coils, pumps, plugs or large assemblies
Porsche: I now have Cameron: Once again somehow cheaper (albeit by a few rands) than Goldwagen for the majority of what I've looked for so far.
Alfa: Also (I kid you not) cheaper than Goldwagen on the things I've double checked pricing on (Plugs, coils, filters)
I think if you have something like an Audi where parts prices at dealers are through the roof you can make a saving.
Either way, I find that relying solely on a dealer, indie or parts shop doesn't work - you have to perpetually cross shop. Eg: BMW oil service on certain cars is now no longer as inexpensive as it once was. At some point it was a no-brainer to send your car to the dealer for oil services.
