Well, internet stores will usually have a much wider selection of parts available. The advantage of buying locally is that should any problem arise, you can take the part back to the store personally. Some internet sites, though, have excellent return policies. I'd usually recommend you buy off the internet.
As for good sites, I highly recommend Newegg.com. They have a huge selection and the best prices you'll see on the net. They also ship very efficiently, and have excellent return policies, should you even need them.
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