I like buying stuff I can actually see, feel (and taste) before I pay for them, but apart that tasting is seldom allowed carrying 20 pound of whey on my bike isn't easy and prices are significant less when I buy then online. Even importing from the USA is often cheaper than buying online in the Netherlands some of the times.
Also buying online gives me a huge choice, whereas when I go to the shop I am bound to the productline that shop has.
So I buy my protein and creatine online, but my straps and elastic bands (back when I was afraid to skip a workout) I bought in the shop (just as some supplements as lineseedoil, dextrose, cinnamon, vitamin-C, and all of my food)