I've tried most. The best IMO come from Lobels, whose brick and mortar butcher shop is on the Upper East Side of Manhattan. Not cheap, but they arrive cryovac overnight without being frozen so the texture is great. Not sure if they are grass fed, but they are dry aged so the beefy flavor is more intense. BTW they also have a great slab of bacon.
Agree with the post about Omaha Steaks. They are horrid.
A close second, which arrives frozen, come from Chicago Gourmet Steaks.
America's Test Kitchen did a great episode on Internet Steaks and the results were quite interesting. I tried to find something on the web but failed...
I can tell you I was given a box of filets from http://www.omahasteaks.com for Christmas last year and they were horrible, despite being carefully packaged and shipped in a styrofoam container with dry ice... When it comes to Omaha Steaks at least, you're much better off going to a higher end market and buying fresh - heck, even the stuff at the big chains is better.