In my opinion, the best option is ordering online from whatever business makes the thing. If it takes a few days longer than Amazon, that's fine by me. Often, support for good products is easier to get if you've ordered right from the source, too. My second choice is ordering online from a non-amazon store. E.g., for electronics, new egg or best buy, for tools, home depot, for groceries, whatever your local chain is, etc. Not that any of those businesses are going to be completely better than Amazon, but that way you are at least avoiding the monopoly. Lots of those businesses have free shipping, too, anyway.

Only if you actually need something right away, would I advocate going to the brick and mortar location. I almost never need anything right away, though. Only real exception is groceries; I've never been a huge fan of grocery delivery (for me).