I voted local RPG shop, which is true about 95% of the time, but I occassionally buy from Borders and I ordered from Amazon once. But it's not just one local shop, there's several around here and I generally spread my businesss around. My favorites stores shift around over time based on selection, customer service (see below) and hours.
And while I'd like to be able to say 'these guys are great", it's not always the case. Sometimes the people at the store are cool but it's not uncommon for me to get annoying attitude. For example, a week or two I was picking up Unearthed Arcana and I asked the guy when he was expecting Green Ronin's Book of Fiends, and he said he wasn't sure because he didn't follow Green Ronin because he finds their products "univerally inferior". Now never minding the fact that GR has one of the best reputations in d20, even if he felt that way, why would you say it to your customer who just expressed interest their product? "Sorry, I'm not sure when that's coming in" would be just as helpful and not nearly as condescending.