It's a good question and it just depends on the value proposition to me. The value of hearing lots of different gear, finding out what's new, getting a deal, whatever is great with a personal experience at a dealer... and that's different than dealing with a manufacturer with only a few products. Are you building a system or just trying to hear a pair of speakers? So, that'll determine where to go... but if there was an online dealer with same products as a local guy, I generally go with the local guy. Either way, I try to get a good deal.
If an online-only manufacturer is willing to get his product in my hands with no risk or strings attached, then I'm all about the online deal. However, if the manufacturer is weird about putting product in my hands and/or doesn't want to 'let' me use his super-classy-wonderful product without a purchase commitment, then I probably won't ever try it.
Dealers invest a lot of money and time into making a showroom for you to visit. Well, actually so do some manufactuers, such as Bose. Without a dealer network, a store, etc... then, I expect the product to be very inexpensive and/or the manufacturer to bend over backwards to get it in my hands since he has no real costs other than building it. Unfortunately, that's not the case sometimes.
-C