Macy's is now shipping to South Korea as well as other destinations. Bras and shoes here I come! Keep an eye out because they sometimes offer shipping specials. UPDATE: I ordered bras and they came quickly! I would definitely use this site again!
iHerb has groceries, health and beauty products, vitamins, coffee and tea, coconut oil and Braggs liquid aminos as well as Dr. Bronner's soaps. I have not ordered from here but have read good things and will probably do so in the future. The shipping appears to be very reasonable.
Nice Market sells a lot of groceries, including meats (lamb!) pie filling, pepperoni, corn meal, and Costco stuff. It's not cheap, but you can pay with paypal. I ordered stuff this week and should get it next week. There was a minimum of maybe $25.00 USD. This one only ships inside Korea.
EZ Shop Korea is pretty much Costco online. It's expensive because you are paying above what you would pay if you visited Costco, plus added shipping. There's a Costco in my city so I don't think I'll ever use this one. They do ship to Jeju-do, but I think it's more. Is there a Costco on Jeju?
Bento & Co ships bento boxes, some magazines and other bento stuff, excluding food, to anyplace in the world, at least that's what they claim on their website. I would love to order from them, everything is so pretty!
What the Book has at least 1 million titles and is super easy to use. They offer free shipping on orders of 25,000 SKW or more, or 2,500 SKW otherwise. Many of their books can be in your hands in a couple of days, others take about 2 weeks. There is also a b&m store in Seoul, though not all the books listed on their site are available at the store. You can also order your books and pick them up in store with no shipping charges!
When I couldn't find a book I wanted from What the Book the Book Depository had it! This is another super easy to use website that has free shipping. What the Book tends to be faster, so I always look there first.
Endless sells name brand shoes, purses, and some watches and jewelry. They sell shoes for men, women, and kids. Free shipping on purchases over $100.00, $10.00 otherwise. Some of the ladies I know here have used this company and they like it.
ASOS sells men's and women's clothes and shoes, I was just notified of this one and it looks great, they have all sorts of trendy stuff. They periodically offer free shipping.
A comment was posted alerting me to Fat Bag. I haven't used it, but it looks like the other online Korean malls, but suited to my American visual aesthetic! No flashing blinking things! And it's all in English!
There's also always G-market (I buy whole wheat flour from there and am very happy with it!) and other online malls, but G-market seems to be the expat favorite. And I've also had good luck with both American and UK Ebay, you can filter the search to find out who's shipping to your desired destination.
update: December 2011-the word on the street is that Gap, which also own Old Navy and Banana Republic is now shipping to SK as well as Overstock.