Where's a good place to buy liquor online? I want to send it to the UK from the US.

What state are you sending it to? Different states here have different laws about internet shipping of liquor.

From NY to London

I would think that ordering from a UK company would be the way to go in order to save shipping costs and legal hassles?

Depends what it is you want to send. If it's bog standard stuff you can get in the uk, then obviously it's better to buy it from a uk website. http://www.oddbins.co.uk/ is very good for wine and whisky, if it's beer then there are links to some interesting looking online shops here