Sorry to resurrect this thread, but it's an interesting topic. I mostly buy online. I generally use greatmodels.com, as the price is right. That said, I support my LHS now and then, either because I get a sudden itching to have a certain kit NOW, or because I just think it's right to.
Unfortunately, I live in New York, and modeling is not really big here, so the largest city in the country has probably one of the smallest modeling markets. The only really respectable franchise is called Brookhurst Hobbies, and they are too far away from me -- they are the only shop I know of that carries stuff like AM.
I shop mostly at "The Red Caboose" on 45th St., which has a decent styrene kit collection, vastly overpriced, and occasionally buy something at "Village Comics," off Bleeker, mostly garage kits of sci-fi/horror subjects but also a small inventory of military. I used to shop at another place called Jan's, on the Upper East Side, also overpriced, claustrophobic, and very eccentrically run.