I'm in much the same position as Rex and Larry. My closest train shop is about 70 miles from me. They are actually quite a good shop and give decent discounts. I like to go up there a few times a year, sometimes with a major purchase in mind and other times just to see and touch some of the new items. With the price of gas, I can't just run up there for some flex tack of a couple of ground throws. If they were closer, say within 20 miles, they would get the majority of my business.
Flex track is a good example of what I do buy mail order. Let's face it, if you've seen one piece of Atlas flex, you've seen them all

These are what I call commodity parts, things that are so standard that price is really the ruling factor. Kadee couplers, ground throws, common building kits, and most scenery material also falls into this category.
I go to the train shop for purchases where seeing and holding the item really makes a difference. For example, I bought a set of BLI Southern E-7's with sound. I paid about $25 more than the cheapest price I could get online but I wanted to look at them in person and see and hear them run before I dropped almost 4 bills on them. Same with high end freight car kits. I like to build detailed freight cars but I don't like paying $30 for a box of sticks. I like to see the kit and understand if it's really "easy to build", as they always say. In addition, there's always something neat at the train shop I overlooked in the Walthers catalog and then there's always the bargain bin.
Bottom line is, if I had a train shop closer that had decent (not always the cheapest, just not full retail) prices, a good selection, and people who had some idea what they were talking about, I'd be there every week. Much to my wifes relief, that's not the case.

So, mail order is about the only viable alternative for me, and I get really good prices and service form the online stores I order from.