-Before buying from mail order firms, check to see if the product is
 really cheaper from them than from your local bike shop(LBS).  Make
 sure you add up all the shipping charges.  Sometimes some of the LBS
 will match mail order prices.

Mail order, pros and cons:
-Mail order can be cheaper than buying from LBS.
-Some mail order companies support local events.     
-Some of them can send you parts faster than a LBS can order.
-You can't see what you are buying.  You must know really what the 
 product is.  Hint: Run to the LBS and check out the product before 
 buying.
-Some mail order companies are real bad on ordering.  They will tell 
 you something is in stock, then two days later, they will tell you 
 it's on back order.  
-Sometimes your product can get lost/damage in the mail.   
-You have to install the product yourself.
 
LBS pros and cons:
-can sometimes give you great deals.  
-They are usually the ones you get advice from, so why not buy 
 something from them.  
-You can actually see what you are buying.
-Sometimes it's real expensive.  
-They might not have what you want.  
-In some areas, the number of LBS's might be limited.
-Customer service might be even worse than some mail order firms.  

Some added:
Brian Adams [adams@cs.unr.edu]
Having good LBSs is desirable, so support the good ones when you can,
even if it cost a little extra.  If everyone bought only mail order, there'd
be no more LBSs.  (No, I don't work for a LBS.)