I live in Philly, and try to support my LBSs as often as possible. With that said, here are some of the components I always end up having to order online:

• 39cm or smaller bars (people like the narrow ones for riding in the city, but no one seems to stock smaller than 40cm, especially for popular styles like the Nitto 123);
• Non-machined and/or colored Velocity rims;
• Colored everything, for that matter. For example: nipples and chainring bolts. People like individualization and color these days. I realize that this might have to do with sales volume, but online stores will sell colored nipples individually, while every Philly LBS I've talked to will have to make a special order and will only sell them in packs of 100. That's a bit overkill if I only want to do two 32h rims, and especially overkill if I want to alternate nipple colors (i.e., to match the color of my belt ).
• Cheap 165mm BMX cranks (like Bulletproof) are great for conversions/beaters. The cheapest SS crankset usually stocked at an LBS is at least $70, whereas a BMX set would be around $30. That's a big difference for someone that wants to build a bike on the cheap (which is an ever-growing market these days);
• Lower-end-but-durable hubs (i.e. Foruma, IRO, Kogswell, etc.). I'm amazed at how many LBSes push Suzue Jrs./Basics when (debatably) better hubs exist for ~$10 more; and
• I don't believe there are any IRO dealers in the city, and they seem to be very popular these days.

P.S. Which shop do you represent?