Before the 4E core books came out I did the math and some price comparisons between Amazon and Barnes & Noble.com. I figured that a $25 annual membership on B&N would save me an extra 10% on every D&D product I bought (including things like Dungeon Tiles that aren't discounted at Amazon). Sure, Amazon's end prices are a tiny bit lower on most products even when counting the B&N membership discount, but B&N's free shipping is *considerably* faster than Amazon's Super Saver shipping. Add to that the B&N credit card offer that gives an extra 5% instant rebate credit for every B&N purchase plus a $25 gift card at signup and I figure I come out at least a little bit ahead with the membership investment. Plus that membership helps in all of my non-gaming book purchases as well.
On top of all that, B&N sends out a 15% off stores-and-online coupon about every 2-3 weeks. They can be used on in-stock items or preorders, and stack perfectly with all the other discounts! Pretty much every new 4E book I buy gets one- then package the book with a set of Dungeon Tiles (generally at $8.95 after membership discount) and you have a $25-ish order that's in my hands with free shipping three days or so from release date.
Recently I got a copy of the new Draconomicon (list price $39.95, higher than most 4E books) for $16.39 with a special one-time holiday B&N coupon. 20% normal discount ($31.96), + 10% member discount ($28.76) + 40% special coupon ($17.25) plus CC rebate. I wasn't even planning to buy that particular book, but the price was just too good to pass up.
I've used Miniature Market (miniaturemarket.com) to buy cases of D&D minis- they may not have the absolute lowest per-pack and per-case prices, but the free shipping on cases or orders over $75 more than makes up for it. (Some online retailers have great per-pack or per-case pricing, then charge you out the yin-yang for shipping, wiping out most or all of the benefit.) They're also consistently good at getting orders to me from halfway across the country in 2-3 days. These last few sets, I've split a case purchase with another person and got six packs for just over $9 apiece shipped. Beats the heck out of the inflated pack list price.
I don't shop at my FLGS for gaming books, although I do use them for things that you can't get cheaper online, like individual miniatures (sometimes), dice, and especially Paizo game aids like the flip-mats. Paizo generally doesn't offer free shipping so it's an extra $5 or $6 (to go just one state away, no less) on top of the same prices as the FLGS. Plus at the game store you get a better idea what the stuff really looks like. I wish I could support my local store more, but the price difference on books is so great that I just can't. They do have a great selection of used old RPG stuff and videogames, so I'll hit those from time to time as well.