Books I generally buy online with Amazon Prime. The discounts are just too good, and it lets me buy books that I would not have otherwise. The upcoming 4E Player's Handbook 3 is a good example. I'm not all that interested in the psionic classes, but am already using some of the previewed content (hybrids, the seeker class). I was torn on whether to buy the book or not, given that I have D&DI. I'm still kind of on the fence about it in fact, even with the Amazon pricing, but without that substantial discount I wouldn't even be considering it.
Other gaming supplies such as dice and miniatures, I often buy locally or at conventions. I did just make an online purchase from Troll and Toad of some individual minis, because it's so easy to find what you want and the prices are good. I've bought metal minis from Reaper directly, although Miniature Market is nice as well. If you are looking for a specific mini, it can be hard to find it in a store - even if they happen to have it, it is likely hidden away on their display rack among countless little blister packs.
It's difficult for the local stores to compete with the selection and pricing you can get online. I do try to support them when I can, but it often feels when I go into a FLGS, I am looking for something to buy just for the purpose of supporting the store rather than because I need the item. When I need something specific, I tend to hit the internet first.
