Well,
I certainly am not going to plant my flag on the side of the mega-stores, but there are the rare circumstances where they have their utility. I grew up in a fairly rural area, and there were primarily two music stores around, a Gibson and a Fender dealer(not counting the junk that turned up in pawn shops). Both of these shops knew they had a near monopoly, and as such, set their prices very near msrp, and didn't want to bargain. They made a great deal of money of people who didn't know any better (usually people just starting off). I can remember the first time seeing a musician's friend, and being amazed at how low the prices were in comparison. Pretty quickly both shops moved their prices into a much more competitive range. One of them failed, probably more due to bad customer service than anything else, and the other is still in business, probably because it is a front for some black market business, but that's another story. At any rate, they had to deal more honestly with their customers.
All that being said, I have always chose to buy locally, whenever the product I was looking for was available.