Seems to me there's benefits to both. The key with the local pro-shop is, as wingnut said, a *reputable* local pro-shop. The first pro-shop I went to for my first reactive ball the pro-shop operator was bored with me from the moment I walked in, couldn't be bothered to have a conversation about what ball would be good. He pointed out a couple (which were totally wrong for the normal house conditions at the lanes), didn't ask how I wanted it drilled (I didn't know the difference between fingertip and conventional, but if asked I could have looked into it and saved myself the $50 I spent to have it re-drilled to fingertip 3 months later). When it was drilled he didn't watch me bowl with it to see if it fit right, just had me put my hand in once then said come back if there was a problem.
There are online shops that allow you to specify pin placement and top weight, and they are still cheaper than the local shops. Granted you're still out of luck if you pick the wrong one, so if you have a good shop I'd say most avg bowlers would do better to pay the extra for the insurance that they'll take care of any problems with a replacement if need be. And not all online shops sell factory seconds.
I think the important point is, whoever is buying the ball (whether its you online or your local pro-shop operator) *has* to know what they're doing because there are a lot of factors and as someone else pointed out, even a little deviation makes a difference.