I buy from a variety of stores.
Every now and then, I'll buy from the big-box-4x4 store, as they'll have a big-box-named item that is far-and-away cheaper than the 'normal' part. But as a general rule, I try and leave them out of the picture in favor of the local shop.
I buy lots from the local vendors or shops, primarily Bayview 4x4, as he's local, has a retail outlet, knows his stuff, and will order in what I need over the phone for pickup.
Occassionally, I don't want to impose upon the local shop if I just want to 'see' the item first and know there will probably be shipping costs incurred when I say "no" and have them return it. In those cases, I'll probably order from a bigger brick-n-mortar outlet, like a Schucks or NAPA. I don't feel as bad if I have them send stuff back.
I get some of my stuff directly from the phone, because I've met some vendors directly, such as Tom from Tom Woods (see my sig.), and they've been very good to me.
For 'normal' parts, I'll normally get them from NAPA, as the parts counter person is easier to deal with. At the local Shucks, Carquest, etc... the parts counter person is a Year, Make, Model input. And my rigs have transplanted motors, trannys, brakes, axles, etc. At NAPA, I can borrow their books and look up the parts myself and at the others, they only know how to do it by computer.
Take for example when I had to find a radiator hose to adapt a SB350 into a TJ, and it's got a york compressor added from a F-series truck. I needed diagrams to look at the bends in the hoses to find something that would work. Carquest can't help on that.
Anyhow, my Bro-inlaw now works at Shucks, so he's giving me a stoooopidly good discount on some stuff there too, so some stuff I get there. For example, I got Chevy SB 'ram's horn' exhaust manifolds for $62. They listed for $200+. But I took the cheapest internet advertisement down there and he match priced.
So, as you can see, it's a weigh it as you go thing. Sometimes it's a little knowledge, sometimes it's price, sometimes it relationships with the store, sometimes it's how fast the part can arrive.