Are you looking for a certain type of fish? From what I have seen the local store has better pricing when you factor in shipping. Unless you are looking for that rare fish that the locals do not carry.
liveaquaria.com and aquabid.com are two that I know of...never used them though, if you want something special a LFS can usually order it and save on shipping.
Almost all the fish I get are shipped in. It is not so much a site that is important, but knowing who the seller is. After that it is knowing where the best deals are. I have never had fish shipped in that could be purchased for less retail- and that includes the cost of shipping or sales tax.