Embroidery Library - this site is my favorite! The prices are great and they have frequent sales, different freebies each month and discounts on the new designs added each week. I've already downloaded MANY designs for embroidery and machine applique. I especially love that my profile stores my max hoop size and warns me if I try to buy a design that is too big so I don't goof up. They also have designs that can be used as quilting motifs, which I love.
Red Leaf Sales - Limited selection compared to Embroidery Library but some good quilting motifs.
Advanced Embroidery Designs