I think there are examples that go both ways. While the mad rush for guns has skewed things a little bit as of late, generally Gun Shows should offer good enough prices that it is somewhat difficult to order online and save much. If its a common item, most vendors at a show will be in the ballpark, or they would not waste there money buying a booth. I think I have bought around 20 guns so far this year. 2 from Local Dealers, 3 from Local Dealers via Gunbroker (two of our local dealers list there), 1 from a Gun Show, 2 Face to Face from individuals, and other 10 or so online from Buds and individuals. We have a $10 local transfer shop. The sad thing is transfers are so cheap even if you could find a place locally like Bud's the transfer is cheaper than sales tax.
On the flip side I have looked into getting a FFL for a weekend/transfer + hobby business and talking to other people I can see why its difficult. I have heard that often Bud's is cheaper than wholesale distributors on some items (Handguns often). I know Walmart is cheaper than Buds on rifles/shotguns and happy to custom order those for you, so maybe they are cheaper also. I heard from dealers on another board locally that buying Glocks through wholesale houses their cost is $405-420. Makes $499 not that bad. I can buy them from police supplier or direct from glock for $399 though. I know a small dealer ordering from Century Arms (AK stuff) there cost is more wholesale than what Classicarms sells for (ClassicArms buys from Century but has special pricing for $1m+ yearly). Its got to be a tough business.