It's kind of the same as anything else. Do you buy books at Amazon.com or your local independent bookseller? Do you buy tools at the local hardware store, or do you buy them from Home Depot or Lowe's? The fact is that any retailer with a national presence can sell products cheaper than local mom-and-pop stores. They get better deals from suppliers and can price things cheaper because they move so much product. Online stores have the national presence and less overhead, so they can go even cheaper.
I do a ton of online shopping because it's cheap and convenient. I buy lots of stuff from national big box chain stores because it's cheaper, and I don't feel like being hassled by salesmen at smaller stores (ironic because many people hate big box stores because they don't get enough customer service ... I actually prefer them in many cases because they just leave you alone).
But there are certain hobbies I have where I support local retailers, because I like the service. Homebrewing is one of those. Having someone walk up to me on the floor of my LHBS and talk to me about brewing is more fun than some dude at an electronics store walking up to me to try to sell me a stereo. So even though it's a little out of my way, I go to my LHBS because I enjoy the experience (and yeah, it helps that my LHBS is also a major online retailer and their prices and selection are very satisfying). But it's not a religion for me. When I see a good deal online, I buy online.
At the end of the day, it's your money and you are allowed to spend it wherever you like. If you want to get the most for your dollar, do it. If you are willing to pay a little more for certain things because you like the experience, do it. But don't let anyone pressure you into thinking you're "supposed" to support your LHBS. If you're not satisfied with the prices and the service they offer, don't give them your money ... if others in your area do the same, then eventually they'll notice and hopefully improve.