I've bought most of my guns online and most from Davidson's (Gun Genie). The prices to me are usually better since you get a list of gun shops local to you and you pick the one you want to deal with. Some of the gun shops locally are real (!) ripoff artists. There's no haggling or anything with Davidson's; you either accept the offer or not and the process is straightforward and easy (don't forget to click Instant Quote).
I typically visit gun shows when they're in town and Davidson's has almost always beaten gun show prices by a large margin. The only time they haven't is when something was mislabeled at the show.
There are many good things about Davidson's. First, they give you a lifetime warranty on anything you buy from them. Second, their service is excellent. Third, their prices are usually pretty good, usually just $20 more than Bud's. Fourth, they have a decent selection although Bud's does have a bigger selection. Lastly, if you order during the work week, the item is usually at the dealer in two days. I ordered once from Bud's and it took more than two weeks for me to get the item. It spent two weeks just in the shipping department.
I bought an FNP-9 from Davidson's and thought the frame was cracked (I later learned it was flow marks). In any case, I contacted them and they simply said no problem, take it back to the dealer and they'd swap it out for a new one.
On another occasion, when the Obama rush was going on, I got as far as accepting an offer, but forgot my logon which slowed my processing. Being that the sale wasn't complete, someone else swooped in and got the firearm. I called Davidson's, they placed me on a waiting list and when it came back into stock, they gave me a call because they had placed one aside and wanted to know if I still wanted it. That's service!
I've only dealt with two dealer locally that I thought were any good. All the others were arrogant jerks acting as if they were doing you a favor or something rather than providing a service. That or their prices are so insanely jacked up that only a fool would buy.