I usually check around on the net first to get an idea of availability & pricing, then see what's at the local shop.  It's not always cheaper online esp if/when shipping gets included. 

Local shops usually give some sort of discount, perhaps AW or otherwise, that negates the tax & some of the price.  If it's w/in a few bucks on lower priced items like clothing, ropes, pfd's, etc then I go w/ the local shop so long as the staff seem friendly, helpful & knowledgable.  I like to keep it local when possible.  I figure if you don't give some business to the local shop, then soon enough there is no local shop & you're stuck w/ ordering online.  Good to have options - like you said, it's damn convenient to be able to pick something up on the way to the river if you need it. 

On bigger ticket items like boats, then online can be the way to go - hard to beat Appomattox for prices and superior customer service.  I know what you mean on the cool factor, the guys at the local shop I've demoed from are either:  A) really nice and helpful OR 2) seemed to give a rats ass w/ little customer service skills.  If option 2 is working I usually figure any questions I may have are best saved for another day/another person or the peanut gallery here.  Having worked in a local shop for several years, I have little tolerance for shop jocks that are too eager to talk about themselves or too inconvenienced to help out those they consider lower on the food chain.  Just because a boater is good doesn't automatically make them a good teacher/instructor or sales rep in my experience.  I'd rather talk to Nantahala Ned who understands the equipment and is glad to talk about it rather than have to deal w/ Gorilla Gary who only works there for the pro deals & to hit on chicks.  But I digress.

Of course YMMV

Mark