I'm fortunate in that I am mostly brewing all grain these days, and my local shop is a working microbrewery. Their grain prices are better than anywhere I have found online. I can email my grain bill and hops order the day before and they will have it ground in a bag and my hops weighted out in individual zip lock's ready for me to pick up. My only 2 complaints are that they are very light on extract supplies and kits, (makes it hard to send a newby to get everything they need), and that if you go in there other than at lunch time or 4:00 - 6:00 it can be hard to find anyone to help you, as they are all working in the brewery itself. This I can completely understand given that they have a full operation to run, and that home-brew supply is an add on for them.
We recently had a new dedicated home brew/wine making shop open in town. The owner is a long time brewer who has started it up while also working another full time job. He is set up to do on site lessons, and is starting to get a decent inventory going, and will also be stocking White Labs, which my other local supplier does not have.
All of that said....I shop local when it makes sense. I don't bail on a store due to bad service or selection once, but if it becomes consistent, I shop elsewhere. On pricing, my general rule of thumb is that if there overall price is within 5% of what it would cost me to get my product online including shipping costs, I shop local. If I do get tired or dealing with a store, I will occasionally give them a "cooling off period" and try them again later.