I generally buy GW from our one local hobby store. I could buy the stuff cheaper online, but if the local store goes belly up, what am I going to do when I suddenly realize I need a bunch more militia guys today?
Usually I only receive a 10% discount, but every so often he throws in a much better deal. I bought the lizardman black box off him for $30 (steggadon, 10x temple guard, army book). A couple of years ago I bought one of the big Armageddon IG deals and he charged me considerably less than GW listed the deal for.
Plus, when new stuff comes in he thinks I'll like (not just GW) he calls and tells me. Pretty good service. He has gaming tables for people to play at, but I have never played there.