I bought my speakers, receiver, cables and TV from "Showcase," which is part of the Tweeter family. I bought my DVD player from a hole-in-the-wall A/V shop that's run by a couple guys who build their own HiFi speakers. However, I shopped at more than half a dozen HiFi stores and local custom installers.
For higher-end gear, there is absolutely no substitue for hands-on experience. As prices increase, the incremental improvements get smaller and smaller. There's no way to know what's right or best for you and your setup by reading someone else's review.
Even assuming I knew exactly what I wanted, I would never order high-end equipment over the web for a few reasons:
1. If something breaks, returns will be easier to a local store. A/V equipment can be very heavy and pricy to ship. Do you have to pay for returning your item? How long will it take? What are the policies? As gear gets more expensive, I'd be more inclined to work with a local salesperson than some web site.
2. Local shops will be qualified to install and configure your equipment for you. This may sound like no big deal, but they have the equipment to measure sound levels, color temperatures, etc., to make sure your setup is configured optimally. The more you spend, the more important it is to get the most out of your gear.
3. Upgrade / exchange policies: I don't know how web stores work, but all of the HiFi retailers I've worked with have outstanding policies for bringing in your older gear and upgrading to the latest technologies. As HD technologies continue to evolve, this could be advantageous (swap out your old receiver for one with HDMI, for example).
The one exception to the above might be cabling, since it's relatively uncomplicated, inexpensive, light enough to ship, and not going to become obsolete. 
Cheers!
Speleo.