This is a tough one. Prices here in the UK are so high, but if we don't support our LQS we'll lose them. But if I always did buy here, I wouldn't be able to do as much quilting as I want to, because I'm on a small income. So I do a mix. Sometimes, as someone else said, I want to get the colours exactly right or try colours together or look for ideas, and then I'll shop locally. At other times when it's not quite so crucial or I want backing fabric, I might buy online from the States. All my (American) threads are now bought here, because I've found a great supplier. And actually it's not always that much cheaper to buy from the States by the time I've added on postage (USPS rates seem to have gone up) and at times when the exchange rate is against me. Plus if I buy more than 3-4 yards, the parcel might get stopped by Customs, and the duty then makes it MUCH more expensive. I'm always looking for the bargain, the cheapest way of getting my supplies, and just have weigh it up each time.
When I come to the States next year, I'll probably need an extra suitcase when I come home :-)