I've long wondered this myself, there is one by me that always offers to order me parts if they don't stock it. It never seemed to me that it would be quite that profitable, especially because most of what I am looking for isn't high value to begin with, but they always offer so I figure it must be in some way.

In any case, if I have to wait a few days for it to come in and drive back to pick it up, the convenience of buying locally goes completely away. I've got no problem paying a couple dollars more to walk in, touch it, and have it now, but if I am ordering from a catalog picture and waiting days anyhow, I just prefer doing it myself and have it sitting at my door.