Hi,
It completely depends on the material, in my opinion... I always (nowadays) buy timber at the lumberyard myself to get good quality wood. On the other hand, I buy many other things online. For example, doors, windows, screws.
I enjoy walking around in building supply stores, getting a feel for what I’m going to build and the process to get there. I often find things that I hadn't thought of before visiting a specific aisle, which might work great for the project I'm currently working on.
Best regards,
Stefan