I buy from whoever has the item I want at the best price, taking into account tax, shipping cost, and lead time. This includes as many as 4 or 5 different LDSs (1 near home, 2 near work, 1 or 2 an hour away), and numerous online vendors (several eBay sellers, the online arm of 2 of the above LDSs, AllThingsScuba.com, LeisurePro (which is a LDS in NYC, BTW), JoeDiverAmerica, DiveRite Express, and a few others.
I don’t bother with the "price matching" policies. IF they want my business, they will have a competitive price to begin with. I do not haggle for anything. I just go to someone who already has the item at the right price. The same goes for online vendors who advertise items for sale with the price marked "$$CALL FOR PRICE" If I wanted to call for the price, I would not be shopping online, I’d be calling random dive shops asking about prices. I will not buy that item from that vendor.
One of my favorite ways to shop is to go to one of the LDSs that also sell online, order up everything I want, wait for them to confirm that they have everything I’ve ordered and then pick it up myself to save shipping. This method allows me to stop in on my way home from work and be in and out in 5 minutes (or have time to hang out and talk diving instead of gathering all the items myself).