I can't beat the convenience of Amazon, but I live about 30 minutes from town, and hate shopping. The time savings are just too important to me.
About two years ago I was going to rebuild a deck. I priced the lumber out at Home Depot, and went to the local lumber yard. The guy took my list, added it up, and the price difference was huge. I told him I couln't take it be cause the price difference was astronomical. He said he cold meet the quoted prices. It pissed me off that he could meet those prices but was willing to rape me, when I was trying to shop local. Nonetheless, I bought from him to support his local business.
A little background before I continue. I'm not a professional carpenter, but I've done a hell of a lot of construction, because my dad was a home builder and our family built our home and many of the additions and garages on our houses before that one. I'm not the guy that digs through the whole lumber unit to get clear stuff, etc. Unless its obviously been sitting there warping for six months, I take my lumber and I deal with it, because I know how to. I also used to work in (real) lumber yards as a kid, so I know my way around wood.
Back to our feature program. I go out with my yard receipt to load up. No one around with a fork truck to pull a unit, nothing. I've got to crawl under the crappiest pile of garbage (on racks) I've ever seen. I damn near went and got my money back. but found enough to make that load.
So that's the last time I tried to support the local lumber yard. If you're the local guy and that's the best you can do, then good luck. It was clear that their business model was truck delivery at an inflated price to builders who would bake their inflated prices into the job.