I buy locally (in my tiny little town) when I can, regionally (30 km down the coast) when locally isn't possible, and when both of those fail, or when the price difference is more than I can swallow, I buy on Amazon. Which means I buy a LOT of stuff on Amazon. I have, on occasion, said to a local store owner "hey, is this really what it costs here?" on a largish item and had a discussion about price. OTOH, I don't even hesitate about other things.
I would consider it unethical to shop at a bookstore and then order the book from Amazon. OTOH, I've had local shop owners point me at web resources for things they don't carry. (Happened just the other day, actually, when I went looking for a knitting pattern. Shop owner showed me what she had, and we both agreed it didn't meet what I was looking for, and she suggested
Ravelry as a resource. )