I would typically say go for your local store. However, mine seems not to be all that great. When I first started brewingI bought everything there. As far as equipment, they are fairly well stocked. But the guys who work there have given me some strange advice before. They also have some pretty old stuff sitting on the shelves, dust collecting on some of the kits. So I switched to putting it together myself so I can see the dates before buying stuff.
The other day I went in and the guy who worked there seemed to have no clue whatsoever about brewing, did not know what dry malt extract is. They were also pretty much out of everything. The most annoying part was that I picked up yeast and he took it out of the refrigerator and bagged it up. When I got home I saw that it expired in May 2012.
I really like having the store so close, but I guess they do not have enough of a turnover. I like being able to pick up ingredients spontaneously, but I guess I will have to figure out a way to have basic stuff on hand all the time or something like that. Also nice for me is that Northern Brewer and Midwest Supplies retail stores are less than 2 hours from me. I'd still like to avoid driving there.
Anyway, long story short: If you buy local, there is a chance they are out of somehting or it is old, so always buy before you really need it, and check the dates.