Here in the DFW area we have quite a few shops that I would say are decent and a couple are even top notch (some support DFWMAS with meetings, etc). Plus, we have The Marine Center here that will deliver for a "$10 Box Fee" that has really good fish, inverts, etc. I know you can't buy direct, but it's kinda cool that we have Oceanic HQ here, too. I missed it but DFWMAS even had a meeting there once.
For Dry Goods, I am a DIY junky and alot of the off the wall things I need can be found locally. I'm in and took Fergy's Acrylic classes and alot of those goods are local as well.
But, I do shop online for competitive pricing on goods. I still am not comfortable about ordering fish sight unseen. So, that's always a LFS purchase for me.