Sebastian Francis said:
Side rant: What's all this nonsense about "supporting" our FLGS, anyway? What are they, charities? Support, my ass. If I want to give "support" to something it will be my family, my friends, my church, my co-workers, or my local charities. Dear FLGS, you're a *business*, for frick's sake. Support *yourself* and stop whining. And while you're at it, stop jacking up the price of Attack! and other games.
When I go shopping, the cost is a factor but it is not the only factor.
If I know that the company which makes what I'm buying (or the shop which is selling it) is responsible of acts which I consider ethically unacceptable, I just don't buy their stuff. I instead go to a different shop, or (if the manufacturer is to blame) I buy something equivalent from a different manufacturers. Often the choice has a personal cost, such as having to say "no" to my favourite chocolates, having to settle for second-choice shoes or having to drive the car to the next gas station.
Most of the times there are no such serious issues (well, there probably are, but we just don't know enough of them), but I still make choices to "support" what I think it would improve the general state of things. In general, when I have to buy something, I give precedence to stuff made in my country, and secondary I give precedence to stuff made in the EU. I don't mind if these products cost a little more, but obviously if the difference becomes large enough I surely buy a US or Chinese product.
Similar thing with little shops: if the price isn't so different I prefer to buy from small shops rather than big malls. It's not so important with RPGs, but with food for instance it is. I have good reasons to believe that concentrating business in few large-scales mall companies reduces the competitivess of the market, brings too much power in their hands and bla bla bla...
Now, in the case of your book, there clearly is too much of a difference in the price.

I would have never felt guilty for having bought that book half-price from a big mall (big vendors can afford to sell stuff under-cost sometimes, because it can actually be profitable to do so). If your LGS is overpricing stuff regularly, they either (1) have problems with keeping their expenses low and aren't making enough money to survive as a business or (2) have a too high expectance of how money they should make. If you find out the reason, that would help you make a choice.