Admittedly I do check the on-line shops first before I make a purchase, but I'm wondering why you should have to ask for a better price. Shouldn't the shops do their homework and start competing with the internet or alternatively start selling via the internet. It's not as if the internet is new. If the shop is too expensive find one that isn't.
My LBS's advertised price, (the LBS I use to purchase components from) has never been beaten by the on-line shops with any of the purchases I have made.
Steve.