The closest shop is 40 miles away, so waiting on shipping doesn't seem lengthy when I also wait to go into town. Prices there are about the same as online with shipping unless I'm getting a lot of parts. They have a surprisingly wide range of stock, but I still have to order online for some of the odd stuff I encounter with the vintage bikes I work on.
I facepalmed when I went to another LBS that specialized in BMXs and no one knew what a half-link was.
I've made a habit of visiting used bike shops and coops whenever I visit a city so I can paw through their used parts bins because it's much cheaper than Ebaying vintage parts.