I hardly buy anything at my LBS, except, of course, our bikes. The main reason is, that it is sort of a "boutique" shop that doesn't have a lot of the type of clothing I would buy. And the stuff they do have is outrageously expensive. I have a good relationship with them, have gone back for various fit related issues and recently bought a pair of shoe inserts that they are working with me on. My husband does all of our mechanics and he orders everything from Performance. Once in awhile he'll run in there to buy something that he needs "right now." He also had them tune up and fix our mtbs, since his had a hydraulic issue and we don't have the tools for that. I basically order everything from Terry. I have ordered from TE (when they have a Terry item I want or some other weird thing), but mostly to try out a different brand that i end up not liking.
I haven't had any return or shipping issues from any (Performance, Terry, TE) of these on line companies. Once, Terry sent me half of another woman's order and part of mine was missing. They were very good about getting that fixed.