One is liable to always find the cheapest prices on
ebay, particularly if you're patient. Unless you're talking about an unusual item, there are typically several (or even several dozen) copies of any given stamp available from several different sellers, so there's a lot of competition. Also, a lot of those sellers are Joe Collector types disposing of their duplicates and unwanted stamps, so they're often willing to take a little less for them than full time dealers.
Full time dealers and auctioneers (such as Sandafayre) typically have an established customer base and the competition is much less. Also, many collectors prefer buying from a full time dealer (even with higher prices) because they're more confident in not getting misidentified or fraudulent stamps. If I'm buying something from "seller234ABC" in Estonia (no offense meant to any Estonians on the board) whom I know nothing about, I will bid/offer much less than from a well-known, reputable dealer in the areas I collect.