Whenever possible, I buy from the FLGS. I can't say I've never bought a gaming book from Amazon, but it's pretty rare.
I'd been going to the same gaming story for over 30 years, but less regularly since I moved to the other side of town. For the past couple of years, they've been making it tough on me though--they don't order as much, and they don't seem to want to take pre-sale orders over the phone. I couldn't get any of the new core rulebook special editions because apparently they only ordered a handful of them for some reason, so I found game stores online that were selling them.
Turns out, the owner's son took over and forced out the guys who were handling the day to day running of the business, which is why things went down hill. A couple of weeks ago, I visited the new store they just opened. I'd already ordered my new Monster Manual, but I figure there's enough coming out later in the year that I can support their new endeavor. It is sad that the shop I bought my 2E books from when they came out has lost my business though.