Everytime I want to shop online, I have to do searches across
Amazon.com, Yahoo Shopping, ebay.com, shopping.com, mysimon.com in
order to find the lowest price on the Internet. Is there a web site
that consolidate those big shopping (and price-comparision) sites'
results into one place? I simply don't like the hassle having to
search in multiple places.

For books, check out http://www.addall.com.

Hello Zoewong. I originally started posting this as an answer and then
I reread your question and realized that you were looking not just for
'meta search engines' that search over multiple stores but one final
ultimate site that searches *everything*. I don't think such a site
exists, but usually I check out Bizrate and Froogle and feel pretty
secure that I'm getting the best deal.  Anyway I hope this research is
helpful to you. If it is let me know and I will post it as an answer.

Thank you,
--shiva777

Bizrate
This one is my personal favorite and most often used. They provide
ways for consumers to rate individual products and even more
importantly rate the onlines stores themselves.Find a store that rates
4 happy faces with tens of thousands of votes and you'll feel pretty
confident buying from them. Some stores may have lower prices but have
been rated badly by consumers. It also allows you to put in your zip
code to get factor in shipping costs.
http://www.bizrate.com

My Simon
If you can get past their goofy mascot 'Simon', this is a good one
too. It has similar features as Bizrate.
http://www.mysimon.com

Froogle
Google's very own price comparison search engine featuring their usual
nice clean interface. They have a very nice directory and I have found
that they are especially helpful in finding odd things. For example,
if you need a certain battery charger and have just the model number,
it will usually turn up something. Not as feature rich as Bizrate or
My Simon, but it is still in Beta mode so who knows what they'll come
up with?
http://www.froogle.com

Shopping.com (formerly Dealtime)
This site has a nicely setup directory allowing you to browse with
very specific criteria in mind. Similar features as Bizrate and
MySimon.
http://www.shopping.com

Addall
An excellent place for book searches. It searches through 40 different
new and used book stores!
http://www.addall.com