This one is a pretty tough question. I personally think that there are so many local dealers, sometimes it's best to keep it close to home. Build up a rapport with a 4 Wheel Drive shop that people in your local community frequent. This keeps the relationship close, this keeps the parts semi-cheap because of the return customer philosophy. A good 4 Wheel Drive shop will help you build your rig the way you want to, not just push you into something they want to sell you.
Mail order is cool because the price is right. But installation of mail order parts is a little harder... Returns of mail order is the pits... So those are things I consider when I buy parts.
Here's what brings me to these boards and here's what makes me who I am...
I sold retail 4 Wheel Drive parts for many many years... While all you guys have jobs and 4 Wheel on the side, I four wheel (kinda) for a living. While I do not work in a retail enviroment, I work right with them, as a manufacturers customer service manager. While doing my stint as a retail store manager I've learned that "people like to hear their name". I've learned my customers' name and greeted them when they came into the store. (Unless the wife joined them, then (as a joke) I play dumb, like I don't know them). I remember the busiest of Saturdays, and a friend/customer would come in a hang out (always people would just hang out), well after the third or fourth customer that I took care of at the counter, I asked the next person to hold on. I came from behind the counter, line and all, and went to this guy and asked him, "Hey _____, what's going on? Do you need any help with anything?" Seriously, alot of the times people came in to hang out. They told their friends and they came and hung out.
Profits were up, sales were up and everyone really enjoyed sitting around the campfire and saying "Man, those guys at _______ are really cool. I love going into that place!"
That's customer service! That's pride in the job that you do, and the people that you meet! That's worth spending a few extra bucks for. It really is... because you end up with someone what's to help you build something really cool.