Our local version, Bill Goodman's, who travels around the Mid-West, usually the vendors prices are higher than local gun shops. I agree with an earlier post, find a good local shop. Build up a relationship with them. You'll find that after you do so, you can usually get them to sell at prices at or near on-line sellers. AND, if something is wrong with the firearm you buy, they'll stand behind what you bought.
If you buy from an on-line vendor, you're still going to have to get the firearm sent into an FFL in your state.