I've had this debate endless times. With my own experience, I've come up with the following guidelines for purchasing online:
1) ALWAYS check shipping and duty costs. A $100 item can turn into a $150 item in a big hurry.
2) Call or e-mail the manufacturer and ask them about warranty for online purchases. Some are covered, some arent. It is much more comforting buying something knowing that, if it is defective, you can return it.
3) If it's something that will require regular servicing, bite the bullet and buy from your LDS regardless of the price difference. For example, I will always buy my regs from someone I know and trust. I want them serviced where I bought them, and I want to KNOW that they are 100%.
4) If you are buying something that is sized, make sure that you try it on someplace. Everyone's sizing is different, and you don't want to buy something that doesn't fit.
5) Ask them what year the item is... E.G. you may see a Bare Nex-Gen drysuit for $850 CDN. That might be a 2004 model, or it might be a 2003 model that they are selling off. It's good to know, as there may be differences, and it might affect the warranty.
6) Be DOUBLY cautious of buying used from E-Bay. There are good sellers, and bad sellers, and qute often the people selling on E-bay don't know what it is that they are selling. I've seen sailing exposure suits being sold as diving dry suits for example. That being said, you can sometimes get the best deals from there.
These are just observations from my own experience. I have bought a few things online, and had good and bad results. My best purchase was my BC, which was $699 CDN at my LDS. I bought it online for $209 U.S. + $30 shipping. Even with the exchange, I saved myself about $400 CDN.
As a last note, I still believe in supporting my LDS, because they do a lot more for us than just sell gear. But they are running a business, and we are consumers. Just like they wouldn't give you your DM course for free, you have to spend your money in the best possible way. I still spend lots in my local shop. I don't want them to go away...