You get it sooner, and there's literally 25 people in a store (at peak hours) standing there waiting to help you. I find myself always going to the store (1 hour away from my house) to purchase stuff instead of from the online store because I like talking to the mac guys (And showing them up).
Edit:
Oh, and some of the people will do things for you that the online store wont. I went in there today to buy a .Mac and I told them I bought my MBP a week ago (which I did). The guy gave me the $30 discount.
Theres no advantage to buying at apple.com, both places will have the same prices and youll have to pay tax at both places. At the store youll get it sooner which is worth a bit of money usually.
If you are going to buy online then get it from a reseller like macmall, amazon, newegg, etc. Sometimes those places have specials going on or sales that the official Apple stores never have. Plus they dont charge tax in most states which can save you a ton of money.