I end up buying most of my stuff at one of the LFS around here. I don't know why... they're more expensive, a lot of time I don't think some of them know what they're doing, and even though I've bought almost everything there (tank, LR, sand, salt, fish, inverts, corals, you name it), they still won't give me a deal on basically anything.
I still end up going there because it's nearby, I suppose.
The one thing I wish we had around here was cheap live rock. If I buy it locally it ends up being $6-$12 per pound. If I buy it online it's like $2 - $3 a pound but it's got to be re-cured, which is why I don't bother.