I preferentially use ScubaToys.com for online shopping; have had good experience. Their prices are quite good, and combine that with a great reputation and I think it's a tough combo. to beat. If they have what I want, I am prone to buy there.
Have also used Scuba.com (time to receive product has varied, but otherwise no issues), LeisurePro.com, and some others.
I do think buying at a local dive shop is worthwhile for smaller things, to support the shop and for convenience. But for big ticket items (e.g.: reg.s, BCDs, computers, complete gear packages), I tend toward online if I know what I want. Now, if I walk in a dive shop & draw on the expertise of the shop staff to evaluate & choose gear, then buying online instead to save a few bucks would seem cheesy. I view the onsite/in person expertise of dive shop staff as part of the product, in other words, and that should factor into my tolerance of the price. Sometimes I don't need that expertise; sometimes I do.
Richard.