Yeah, I'll buy random "crud" off the internet (Yet Another Octopus Carrying Doohickey That Will Change The Way I Dive, etc), but for most of the bigger purchases, I've gone to the LDS. (I bought my BCD online, but I got a hell of an upgrade for my money..)
Most recently, we picked up Al80's for about $200-ish. I could have picked 'em up off the net for about $60 less, but that difference is eaten up pretty quickly - after I get the valve mounted, a viz done and pay for shipping, I'm within $30 or so. Once the LDS throws in a year of free fills, I'm sold. I got accustomed to the pricing difference and I've found that my LDS isn't that much more expensive than the reputable online shops like Scubatoys. (Doubly so now that I have the "loyalty" discount at my LDS for buying regs there - flat 10% off most items.)
If I had to buy a compressor + filters to continue this sport, I'd be in a bad way. Thankfully I can think of 7 or 8 dive shops I've been to in town, and they all seem to have found their niche. And Milwaukee isn't _that_ large of a market. Maybe that's what is helping keep our stores cheap and divers well served.