I prefer locally owned stores if I can, since it is nice to support the local guy. There are a few locally owned audio stores here which is pretty amazing, considering the proliferation of large corporate chains.
Unfortunately it seems that locally owned stores in Canada have problems selling stock of certain brands (in general, not just audio). Exchange rate, distributor availability, and shipping costs can really kneecap a locally owned store or chain. Usually stores will deal in only a handful of different manufacturers, simply due to better availability or prices due to better service from the distributors.
That is a factor when a lot of research (at least preliminary research) in what item suits you needs is done over the internet. Personally I run into the situation a lot of the time where I want something specific, but none of the locals can get it in. This leaves me to get it from the manufacturer's e-store.
Not being able to buy items in province also bypasses our provincial consumer protection legislation which gives us minimum warranty protections, which can include extending warranty duration based on relative price of the product (high priced stuff should have better guarantees), and having the manufacturer pay shipping costs for warranty work. Shipping costs alone are a big deal for Canadian consumers, especially for larger objects.