I do a bit of everything. Most of my "old" tin comes from eBay and train shows and flea markets. If one of my two local train shops has new tin in stock or can get it from MTH, I buy from them. If there is something out of stock but on the product locator, I buy online. Last resort for that is the bay.
Ironically, one of my two local shops is also my primary online source. I can often get better deals, including shipping, from Mario's online than walking into the store.