[MiG]

The e-bay stores keaphoto-oz and digitalrev have good prices. Digitalrev has a larger selection, but their postage is high. Their base price is higher, but they also require you to pay another $20 for insurance.

With postage I got the Sigma 70-300 APO DG Macro Super II for 3/4 of the cheapest Melbourne price I could find. Since this was a cheap lens ($244) postage ($45 with insurance) was a significant fraction of the price. If you purchase over $500 of stuff there may be import taxes, but the stores says they try to help you avoid it e.g. my package said "used lens" on it.

centre.net.au seems to have ok lens prices but I haven't bought anything from them.
My dad bought the Sigma 24-70 EX DG Macro while on the business trip in the US. He bought it for $550 AUD.
Digitalrev has it for $500 + 60 post + 20 ins = $580, assuming that you don't get GST and import duty.
centre.net.au has it for $750.
dirtcheapcameras.com.au has it for $942.
While looking around for prices for this reply, I noticed that Camera Action (a store in Melbourne) has it for $700. I'm surprised. But their 70-300 price is $400, which isn't good. For some reason relative prices vary between lenses. Some places have a good price on one lens and crap on another, whereas another has the opposite.
Another potential surprise is Teds. They surprised me with our camera and flash card price (after bargaining) and more recently surprised me with a decent price on a particular Manfrotto monopod (but still not too good compared to the US).

One more thing. When doing searches for lenses, try both 24-70 and 24-70mm (for example). They don't get treated as the same thing.