It depends on if I need something or not. I haven't really had an immediate need for something in a very long time, as I stay stocked on strings, picks and cords. I have two amps/guitars, so I'll just grab the other if I really need to play something immediately.
If I'm researching something I want, then I don't feel like I need to buy picks, but I've never ordered a "good" guitar online, except for my wife's Heritage, which aren't sold anywhere around here, and that was really ordered from a store, back east somewhere. When I bought her Collings, I checked lots of guitar stores in LA, made them get them down for me, show me a different one, let me see that other one again, say "thank you" and walk out the door for another shop. I did that several places before going back to the first one and grabbing it with a cash price.
I don't feel right about trying out big-brand stuff at small stores so I can order it from somewhere else cheaper, but I don't feel compelled to pay them for their time if I don't buy something there. Lots of music stores have an online presence and probably conduct a lot of sales that way. When you buy something on Amazon, you aren't buying it from Amazon; you're buying it through Amazon, from a store somewhere, though it's probably stocked in an Amazon warehouse somewhere. I'm not really sure.