It is now my preferred method. It's not just cost, but simply a matter of overall satisfaction. Back in the early 90s I had a great local shop (Broadway Bicycles, Tucson). They were very knowledgable and were price competitive. Since then, I've found many shops to be poorly stocked and with personnel that don't know or don't care. (Sorry, my personal observation of those shops I have been to, not an indictment of the entire industry).
Most recently had two problems. Last summer needed a 42A chainring for Ultegra 9. "Oh, that's a special order". (answer from BOTH local shops). Give me a break...the most popular group in the world and one of the most popular sizes? Secondly, I had a problem with my rear wheel of a certain maker. I ordered parts several times. I was very specific and even brought in part numbers. Both times the parts were incorrect. Second time, paid $30 for the wrong axle and only realized when tore wheel apart. Then waited 4 months for them to correct and finally gave up.
Mail order is far from perfect, but if you do most of your own mechanical work, the combination of availability and price can't be beat.
One thing I do NOT agree with is buying parts online/Ebay and then asking shop to install. That is bull. If you are going to use their labor, then buy their parts. It is low class, in my opinion, to buy a frame, fork, and group online and then go to LBS and say "here, build it."
My favorite shops are Price Point and Jensen USA, with Price Point getting the ultimate nod. They almost always ship same day, always use UPS (when I used them) and I have never had any type of problem. Supergo has great prices but customer service is marginal at times. Performance and Nashbar can be very good at times (think they are owned by same company now) but their shipping can be rather slow. They often use USPS for shipping which is a problem due to sketchy tracking (with UPS and Fed Ex Ground you always know where your part is.)
Of the more "bike shop" shops, Excel and Colorado Cyclist seem to stand out. I purchased an entire bike from Excel 4 years ago and was stunned at how good the build was. (Example, purchased a bmx cruiser that was built/boxed in Taiwan and took me 6 hours to get it rebuild correct and wheels properly trued). The Excel bike was spot on out of the box. Brakes, wheel true, everything. I would also have no problem buying from CC because of what I have seen of them.
I use as site called
www.bestbikebuys.com to shop for the best prices on parts I am looking for. It searches a lot of sites simultaneously and is of great aid.
Bike shops should be in a better position from a competitive standpoint shortly, as it appears that sales tax on online purchases will be consistenly collected in the near future. But, whether or not they recoup lost sales or still tend to lag depends upon them, in my opinion. Service and price. If shops again provide better overall satisfaction then I'll go back there as my first point.