I'm with rv here. A good customer relationship with a local bike store is a great thing to have. It's like having your own F1 engineer and pit-crew at a very modest price.
In return for (well-deserved) customer loyalty, they give me 10% off everything, and they're always happy to give their experienced advice, minor mechanical tweaks, etc. for free. It also means I get my bike worked on by a professional, rather than me (a mechanical imbecile

) I wouldn't know where to start installing a groupset myself, nor would I have (or even know) the tools I'd need to do it. And even if I did try, it'd end up built worse than a Huffy K-Mart bike
.. anyway, back to your original post ..
I wouldn't discount your local bike store's services and go groupset shopping on price alone; I'd also ask them how much it'd be *installed*. It's quite likely they'd cut you a deal on the labour if you order the components through them. Anything that requires any sort of mechanical skill to install I'd buy ONLY from a bike store and have it professionally fitted.
The only thing I've bought online has been cycling clothing from the UK, simply because it costs SO MUCH here in Australia. $100-$130 for a decent jersey, when you can get them for $40-50 from UK online vendors.