In my experiences, the shipping costs from most shops outside of Canada do not make it worthwhile to me to shop on line. I do order from Connecting Threads, often in conjunction with friends so we get free shipping. I have not had any of their parcels charged duty and paying the HST while not pleasant, is no different than buying at a local shop.
I do support the local brick and mortar stores with more than 1/2 of my quilting dollars, and that is tipping more in their favour as time goes on.
In the non -quilting context, I will not order unless the item is shipped USPS because for most things, the brokerage fee is too exorbitant for me/us.
I also feel we need to support the postal services (USPS/CPS) as there is a need for a postal service.IMHO.