I got the top of the line bikesdirect.com bike (Motobecane with Dura-Ace) and I'm really happy with it. However, I am adept at bicycle maintenance and was comfortable putting it all together. Every other bike I've had was through my LBS.
The mark-up on bikes is low, so you can usually get a good deal through a bike shop and then count on them for support. Bike shops make their money in repairs and charging list for all the other little doo-dads you might want to pick up. Repair costs, and the case of a bikesdirect.com bike, bicycle assembly, should be factored into your decision.