You may well do some of your holiday shopping at Amazon.com or Zappos.com. But I guarantee you that you'll do none at BlueNile.com or eBay.com. Because they don't exist.
Here's the deal: There are names, and there are addresses. It's easy enough not to confuse "Macy's" with "151 W. 34th St.," but things get tricky when you see the same online store referred to as Amazon and Amazon.com and amazon and amazon.com and www.amazon.com and http://www.amazon.com.
Go to www.bluenile.com and you'll see "blue nile" and "Blue Nile" and "Blue Nile Inc.," but you will not see "BlueNile.com" or "Bluenile.com" or "bluenile.com" or "BlueNile" or "bluenile." You'll see "http://www.bluenile.com" only in your browser's address field. Therefore, if you're writing about that store, you must call it "Blue Nile." Call it "Blue Nile (www.bluenile.com)" if you want to help your readers get there.
Go to www.amazon.com, on the other hand, and you'll see "amazon.com" and "Amazon.com" and "Amazon.com Inc." Amazon.com is both the name and the address. Even if the site consistently said "amazon.com," by the way, I would call it Amazon.com. Proper nouns are capitalized. Grant eBay (not eBay.com) a one-letter grace period if you like, as long as it's not at the beginning of a sentence.
If you want to point to a URL within Amazon.com, then you're talking address, and so you'll want to revert to lowercase. Perhaps there's a big Amazon.com sale at www.amazon.com/sale. I like to keep the "www.," if applicable, in such cases, for two reasons: It helps sharpen the distinction between name and address, and it presents more opportunities for a line break if the sentence ends up in a narrow column. Some people like to keep the "http://," especially when there's no "www.," but that strikes me as silly. There will, however, occasionally be times when you'll want "https://" for a secure site.
On a tour of deal-hunting sites, note the difference between not-coms such as Stop It to Me, RetailMeNot and Coupon Sherpa and dot-coms (or -orgs) such as MyBargainBuddy.com and FreeShipping.org.
Some online stores don't know what their names are, leaving you with a judgment call. Go to www.zingsale.com and you'll see "zingsale" and "ZingSale" and "ZingSale.com." It's usually ZingSale, and so I would call it "ZingSale" or "ZingSale (www.zingsale.com)." Because the name's-the-same dynamic is much tidier, however, it would be an acceptable style decision to take that lone "ZingSale.com" as permission to call the site ZingSale.com. That's the decision I'd make at DealsOfAmerica.com, where the indecision is about 50-50.