I just want to mention that having a local dealer is not a guarantee of support, as dealerships can go out of business.
I do think that lessons are important if you are upgrading to a totally different level of machine -- say, going from a vintage machine to a $1,000+ machine with lots of bells and whistles. If you are already familiar with midline machines, I think the lessons become much less important as there is so much help available online these days. My Bernina 1230 is over 15 years old now, but I don't think I would need lessons for a new top-of-the-line machine (unless, perhaps, it included an embroidery unit as I have no experience with embroidery). I would probably make an exception for a machine that includes the ability to update from the internet. I just don't think stand-alone sewing machines -- even if they have 500 different decorative stitches -- are that difficult to figure out if you have any experience with a modern sewing machine.
A lot depends on the type of machine you are buying. If it's a $1,000+ machine then you may want a local dealer. If it's under that, I would definitely consider buying off the web -- especially since it's easy to return machines to places like Amazon or Walmart. You *do* want to make sure that a return is easy if you don't like the machine. However, this can be an issue with dealers also, since not all dealers will accept the return of a machine. I know a dealership that will not accept the return of a machine even if the box was never opened. They will accept a return only if the person upgrades to a more expensive machine. Makes it unwise for family members to buy a machine for under the tree!