I almost always buy from Farnell, convenience more than anything else. However sometimes they do not have specific components so I have looked elsewhere. Farnell have also shipped packages from EU and multishipments where components arrive from different countries.
In the last order from Digi-Key however, I was very surprised when I had to fill in an export form (only used in the US as far as I know) asking the typical "what is it for, who is the ultimate user" and then looked at tracking so the package left Minnesota, then Kentucky, then Philadelphia ... This is crazy. I would have expected that Digi-Key would have warehouses in EU if not in UK since they are doing business in the UK.
The next item to consider is that if they almost beat Farnell in prices, and definitely Mouser, whilst shipping from the US, imagine what the profit margins are for all of them.