If you want to customize your configuration (hard drive, RAM, etc.), you have to order online. Otherwise, you can buy standard configurations anywhere.
Online Retailers like Amazon and the Apple Online Store offer slightly better service then some other online retailers, however the prices are usually not as good. MacMall tends to have the lowest prices and is legitimate; however you can find numerous threads of people complaining about service and then those supporting MacMall. I personally have had nothing but great products and service from MacMall and cannot complain.
Obviously the largest thing the online retailers will offer is a nice price discount as well as likely avoiding tax.
I like going to the Apple store. If I need to exchange something I can go back and have it exchange in a day. Online is cool, but it there is a problem, you have to send it back and wait.