You do get free shipping for online orders (or pay $15 for expedited shipping, which I did!).
Can do build to order, which you CAN'T do anywhere else, (except
www.smalldog.com). It surprised me too that they can't do it at Apple Stores, but I'm sure it would be a huge hassle to do on site BTOs. This is why I ordered online.
Unfortunately, you don't skip sales tax thru Apple's online store because if a business has offices/brick and mortar locations in your state, taxes still apply. Buying thru SmallDog, you can avoid sales tax, but have to pay shipping and wait longer for BTOs.
If buyng a stock machine and not BTO, then get it from your local Apple Store for the instant gratification AND to help convince "sitting on the fence switchers" in the store that they should buy.
Plus buying at a local store gets your butt kissed by the staff and managers whenever you're there.
Hope that helps.