One reason they do that is the markup on computer parts is very tiny. So they can't give away too much shipping costs.
Sometimes you'll get a bulk rate if you are buying a combo. I have bought tons of stuff from them and the shipping has always been resonable. Also what I love about NEWEGG, besides the fact that they have a warehouse now in New Jersey for faster shipping, but at least for me being on the EAST Coast, I can put my order in before they open and have what normally would take an additional day or 2 to ship I can get it shipped same day at the same price as longer shipping rates...
So I can get my order faster.
Plus FEDEX you can buy regular ground shipping and if it's earlier enough in the day they will just throw it on a plane, unlike UPS will actually truck the package across the country from Cali to NY which can take almost 2 weeks...
www.mwave.com is another good company that is in the same town as NewEgg