I also prefer supporting the LHBS, but for me there came a time when they simply could not or would not provide what I want or need. Didn't take long either, unfortunately; I'm only on my third batch. So...
Midwest gets my vote to the top of the heap because they offer a (super duper informative) print catalog, because they offer a free instructional DVD with purchase, and because they provided knowledgeable answers to complicated problems no one else could or would. Excellent service, prompt delivery, and superior advice . . . they'll be getting more of my business.
So will the LHBS, to be sure.