Being in Brooklyn, I'm lucky to have several LBS's within 5 or 10 minutes ride. I mainly patronize two of them, and they often have what I need. If they don't, they will order it and I'll get it just as fast as from amazon. I like to support them.

That said, I won't buy something if it is significantly cheaper online, after factoring in shipping & tax. For instance, I don't buy chains at the LBS because the same chains they charge $20 for, I can get for $7 online.