XRICHX is on the money with this one. My usual M.O. for buying cars is to figure out the exact make, model and options I want. Then I approach the internet sales departments online or the normal sales departments by fax of all the dealers I would consider driving to. I ask them to let me have quotes on the vehicle I spec'd within two days.
Once I have the quotes I either go to the dealer with the lowest price or I call the dealer I want to work with and ask them if they will match the lowest price. Then (and only then) do I go to the dealership. Be careful before you go to the dealership. Some dealers (especially those with Internet Sales Depts) will quote for a stripped down floor model not the one you spec'd. I have zero tolerance for that one.) I let them know that I am prepared to buy the car that day, but only if they honor the deal. Usually there's a brief period of the salesman or his boss trying to add stuff to the quote - dealer prep, doc fees, blah, blah. Hold your ground. Without saying as much, I make it abundantly clear that I am prepared to walk.
One of the interesting things I have learned in this dance is that more often than not all of the dealers are trying to sell the same car (i.e. the same unit). The last time I did this they had all located the spec I wanted in Connecticut and all made different bids.
It's helpful to have your financing for the new car lined up before you buy the car. If you do not, then you open another avenue for the dealer to recoup some profit. On the other hand, if you have financing lined up and the dealer thinks they can best it, you can take their offer. I have a good idea for financial docs so I'm confident I can tell if their offer really is any good. But, if I had any doubt, I would send the dealer's best offer to the lender from whom I had the pre-arranged deal to get their read.