I'm completely in favor of saving a buck. I've bought quite a bit of gear online (from DiveInn in Spain).
BUT,
buying from an LDS has its advantages too. There are times I want a tech to look at my regulator even if it's not broken. For example, maybe I want to change my hose configuration ... or maybe my regulator is making a funny noise, and want a tech to look at it just to be safe. The LDS I go to does these things for free while my tanks are getting charged. This is also, a good time to ask the guys in the shop about local dive conditions (water temp, vis, "you see any lobsters?"), because most of them dive a lot more often then I do.
Furthermore,
there are certain pieces of gear that you should actually try on, before buying: wetsuit and mask. Both these pieces of gear are useless if they do not fit correctly.
IMHO, I think buying the other gear from a reputable online retailer (with a good warrantee policy) is OK Personally, I think getting packages in the mail is a lot of fun (especially if its dive gear).