Most online companies still have warranties and return policies, but shipping cost can sometimes make that more of a hassle.
Being 'face to face' with your dealer might make you more comfortable, but it doesn't always ensure a better service experience. I've had online shops accept no questions asked returns, and warranty replacements with no shipping cost, while at the same time have local shops deny requests and not take returns.
Really what matters is having good communication and trust with your dealer, regardless of where they are, if you find that trust and communication at the LBS, thats great, if not, you may be able to find it at a shop some distance from you that you deal with online. Remember that many online shops are just a regular shop with a webpage. If I order from Harris Cyclery, I'm not ordering from 'the internet', I'm ordering from a little local shop, just a different local.
peace,
sam