How much more is the shipping compared to what you'd pay in sales tax and gas to get to your your LQS?
Plus the convenience of shopping in your pajamas at 3AM.
Priceless (at least for me).
As noted above, some sites do offer free shipping. That's a real bonus.
But it is a cost of doing business, and the site can either absorb it or pass it on. And I've found most sites are reasonable when it comes to shipping because their customers have become very knowledgeable about what can be crammed into Flat Rate Priority envelopes and boxes.
If a site it totally out of whack with that, I just move on to the next site. Easy enough.