Yeah, I've used Pixmania. If you can't speak Greek though then can be a bit of a pain. It's all the same site underneath (comes from France I believe) so shouldn't be a problem, but they won't let you order for Cyprus from the UK site (I asked). It's a bit worrying (because you don't know what you are agreeing to) but if you have an english one on one side, and a greek one on the other then it works just fine. Very fast delivery too.
http://www.play.com is also a good site (make sure you view in Euro otherwise will not allow delivery for some idiot reason). They only deliver DVDs and books to Cyprus but are pretty quick and the P&P is free
Works out cheaper for books than if you went into a UK bookshop and bought them (which is still a fair bit cheaper than english books from a Cyprus bookshop).
Only other online site I've used is
http://www.divineo.cn/cgi-bin/div-cn/index.html They were really good for hard to get console accessories.
A friend of mine uses
http://www.strawberrynet.com/country.aspx for cosmetic stuff.
Cheers