First off, I work for an online ammo site. I'm not here to advertise for us so I won't mention who I work for (I've been a member of this site for years and have been reading/lurking THR even longer, long before I went to work for my ammo site).
That said, to address the OP's original post, I'm all for supporting your local gun store. I've seen so many go under for various reason and like any small business, sales are the number one killer.
If you are looking for the best deal, the best eventual price-per-round, all sites will price the same/similar stuff differently but the shipping can kill a good deal. I'm not going to bad mouth anyone, I'm only offering my biased perspective that before you commit to any sale, find out what the shipping will be on top of your original order and then re-figure your overall price-per-round. An online site may beat your LGS by $20/K on a case of something, but if you're on the wrong side of the country, the shipping may kill the deal.
As for ammo to avoid, that's a huge, varying conversation. Just understand that many avoid steel cased ammo in 223/5.56 (most of this is Russian) for various reasons. The most credible of these reason seems to be premature wear and tear on some parts of US/western designed rifles (AR to be specific) like the extractor. The "mild" steel cases are still harder than brass.
Otherwise there's lots of surplus to be wary of, some bad experiences w/ probably any manufacturer by someone at sometime, and the given caveat of home grown reloads (what you might find on a random gun show table).
If you have some specific brand or loading you find online or locally and have a doubt, just mention it here. Odds are someone's tried it.