For me, whether I buy online or from eBay/Craigslist or from a brick-and-mortar store depends on what kind of item I am shopping for. By the way, I have had good experiences with the Atlanta branch of Diver's Supply--although they are a regional chain and have an online presence, they are my "local dive shop." They have let me use their pool to test out gear, whether I was shopping for it there or had already bought it elsewhere.
In support of local dive shops everywhere, I would like to be able to say that you really need to hold (and in some cases, try on) an item before you buy, but I can't. LeisurePro, for example, has such a good return policy that I bought two wetsuits from them, tried them on at home, and easily returned the one that didn't fit as well. LeisurePro usually ships in-stock items the next day. Dive Right In Scuba (DRIS) chimes in here on SB, and I have been pleased with their service. Scubatoys is one you didn't mention, and they have been good, too.
But really, it depends on the specific item of gear you're shopping for.
Addendum: Well looky there, while I was typing DRIS "chimed in."