Drew-I've bought fish from both LFS and mail order.
My preference is definately an LFS because I can see the exact fish that I am purchasing. You can observe it's behavior, see if it looks stressed and confirm that it is eating. You can also ask how long it has been in the store to ensure that it didnt just arrive. Most importantly to me, I can select a fish with good coloration that is healthy. For example, I am only going to put one Flame Angel in my tank, so I may as well select one with great colors. They vary greatly by LFS, not to mention by the location that the LFS got it from (ie Marshall Islands). Same thing with clowns. Are the markings & stripes distinct or blurred?
My LFS lets me put the fish on hold for a few days as well. Some LFS even give some type of guarantee.
For all of these advantages, I am willing to pay a higher price than I would get from the web. The keys are how much higher and which fish are less risky? Some fish just dont ship well.
I have had great success with Live Aquaria and Saltwaterfish.com on somewhere around ten purchases over the years. Sometimes the web prices are just too good to pass up, especially with SWF.com's sales. My Yellow tang cost me $1.99 there and we were just commenting over the weekend how awesome her coloration is...bright yellow. My lawnmower blenny was $4.99 and all of my pep shrimp were bought on the web. Snails ship very well and cost pennies on the dollar compared to the $3+ LFS charge. You will need to pick and choose.
Dont forget that shipping charges on 1 fish are much more expensive than 6. When we order online, we pool our orders between at least 3 people & split the S&H/box charges.
Find a good LFS that you trust and enjoy going to; and give them your business. You wont regret it.
HTH
Dave