Whenever I have moved into a new neighborhood I have made it one of my first orders of business to seek out the local bike shop (LBS). Heck, even on vacation in a town I will likely never pass through again this is true. There are many practical reasons for doing so. The most commonly cited reasons are service and product. Service is rather self-explanatory - a big box retailer selling less expensive, lower quality bikes does not provide service when the inevitable problem occurs. You must make the repairs yourself (horray for self-sufficiency) or, visit your LBS. There are two aspects that I have found to be important with regard to product - quality and selection. Most bike shops, unless they are exclussive dealers of a single manufacturer, sell multiple brands of bikes enabling you to compare; and the same holds true for components. My favorite shops tend to be those with many display cases filled with stuff that I can see and hold before I buy. There have been numerous occasions over the years when I have been unsure about compatibility between components; a quick ride to the LBS and the kindly folk can clarify your options.
There are also other intangible reasons to discover your LBS, and to get to know the people who work there. Many shops sponsor racing teams and recreational clubs; you can join these for the enjoyment of riding with a group, as well as the discounts that shops will give to team/club members. Shops often organize their own group rides. For years I did a ride from a shop near where I lived - it allowed me to get a good competitive ride in, socialize a bit, and then head off to work; the timing was perfect. Shops frequently hold special events which you will not find at the big box or through online purchasing. Things like customer appreciation night, factory demos, special sales, speakers and fundraisers, are some of the special events at local shops I have attended.
My personal favorite LBS story happened after I had been hit while riding through an intersection on my way to work one morning. My rear wheel was a write-off, but easily replaced. Less easy to manage was the frame damage- that bridge between the seat stays, the piece of tube that the rear brake attaches to, was wrenched clean off. I took the frame into my LBS for their opinion where the manager, who I had come to know from the shop ride and team, and who dabbled in welding, made the necessary repair free of charge. How is that for service!
Most of us who live in an urban area have multiple shops within a short distance of home or work from which to choose. Each may have different strengths and weaknesses. The benefits of just stopping in to look at the goodies, or say hello whenever the opportunity arises become more and more apparent with each visit.