This is a hard question because it can depend on what you mean by "prefer." I prefer to support my FLGS when possible, but I find it hard to justify paying MSRP and dealing with spotty availability. In the end, I end up getting about 80% of my purchases online - especially Amazon. I mean, just look at the Pathfinder NPC Codex (a recent release).
At my FLGS: $39.99 + Tax
From Amazon: $26.39
If I pre-order or if I get "lucky" and the local store is out of stock, I get like 20% off. So, then it's only 31.99 + Tax... and I have to at least go to the store to pick it up... and maybe wait for it to get in stock.
It's really too bad. I have fond memories of spending a lot of time at my FLGS growing up, but that was mostly as a card-flopper.