I choose to support my LHS for many reasons. They've always gone out of their way to get a part I need, they're helpful, they let me hang in the shop, and just some cool people to talk about whatever. Sure the prices aren't exactly the lowest compared to mail order but I would rather support the "little guys" rather than big companies. I feel we, as customers, should support them.
There are exceptions however. I'm talking about shops that don't give a rats ass about helping you or rude employees. There is one other hobby shop near me that has some of the lowest prices around but terrible employees that don't really do their job. Its a shame they're still in business only because of better pricing. Oh, another exception is if the hobby shop is too far, then thats ok.