well, try to make sure you include all "hidden" costs. if you order online, you might have to pay ffl, ship, background checks, etc (depending on your state). at your local GS, you will have taxes to consider. sometimes the internet deals look great until you add it all up, and then it isn't that much cheaper, if at all.
unless online is $50 or more cheaper, i always go with my local GS. why? my GS has a very good track record with me in taking care of problems. also, its nice imo to handle & inspect the gun you want to buy before the purchase. and then the satisfaction of having it your hands instantly when you make the purchase.
after puchasing your gun, you'll likely find it a bit cheaper somewhere else (if you have my luck anyway). but i have only really been burned once by this, finding a gun about $70 cheaper online a few months after i bought it. OUCH! but you can never predict these things.
in the end, as long as you don't grossly overpay, the prices will be pretty close most of the time. i think being happy with the gun is more important than getting the absolute cheapest price!