If a local quilt shop has what I am looking for, or if I like what I see there, I buy locally. By supporting them, they support other local businesses, the money stays local and we all benefit. Money spent at big chain stores mostly leaves the area altogether. And I buy nothing at WalMart, ever, because of their corporate "ideals".
If the local quilt shop does not have what I am looking for, or anything similar that will do, them I buy online from places with excellent customer service that I know and trust. Most also have brick and mortar shops as well as online sales.
There are many local shops (Keepsake Quilting is 'local' for me, as well as many others) and it is worth it to me to pay their prices to keep them in business. In return, I get lots of good advice, great fabrics, friends to share my quilts with, all that kind of benefit you don't get elsewhere. The average price is $8.50 (USD) per yard, no tax and no shipping.