Everyone has to decide where to draw the line in terms of shopping "ethics" these days. My rule of thumb is that for anything that I want to touch, feel, play, etc. before buying, or where I rely on the personal and professional advice of local sales people, then I will always buy locally regardless of price.

If, however, I'm buying more of a commodity item and don't need/care about the above, then I'll buy at the most efficient/convenient place, often the net. If there's any question, I'd always prefer to buy locally.