I use natural seawater...have done for about 2 years now.
I get it from the LFS, and it is collected a few miles offshore by a company called Catalina, and apparently filtered once (although I wouldn't bet that they actually do this!)
I would NOT use water from the shore, mainly due to the increased level of pullutants at the shoreline. (unless of course I lived in the middle of nowhere, then I would consider it).
I like the natural seawater for two reasons. One it is simple, and requires no mixiing etc (ok, I am lazy!), and two, as much as we try and recreate saltwater using syntheitc mixes, who knows what trace element or dissolved protein we fail to include in the sysnthetic that may turn out to be key for the health of the aquarium? We just don;t know, and I think we are foooling ourselves if we actually think we understand that much about the complexity of our oceans.
Of course, there is a down side that I could be putting something in that is detrimental to the aquarium (pathogen, or some pullutant, invasice algae spores, etc) but thus far I have not had any problems. I have also read about numerous 'bad batches" of synthetic...so I guess there is a risk either way.
Basically though, each to their own.
HTH
Stewart