Local pro shop always for me.
I don't have a Cabela's or Bass Pro within 4 hours of me but there is a Gander Mtn. with in an hour. The only way I'll shop there is if I want something RIGHT now and my local pro shop says they'll have to order it, but that's only happened to me once. Besides at 3 bucks per gallon it's hard for me to drive an hour and expect to save money in the long run!