DRO does have an excellent selection of tying materials, but I only get over that way once a year. I've never been in Walt's shop, it's just too far out of my way. My local flyshop is the Orvis store in Raleigh, and I do buy things there when they have what I want, but no matter how much you want to support your local flyshops, sooner or later you are going to want/need something they don't carry at a price you're willing to pay.
When that happens, you start looking online. Since this isn't the "high rent" district we can name names. Over the years, most of us have found Hook & Hackle to be a reliable supplier. It changed hands a couple of years ago, but the new owner has maintained the same high standard of customer service, and has added some excellent product lines. Their Euro Thread is nearly as good as Bennicci, their H&H Hackles are well worth the price, and the H&H flyline meets or exceeds customer expectations.
I also like the service I get from JStockard and FeatherCraft for general flytying and rod building supplies. Of course, I have a list of more specialized dealers when I'm looking for specialized threads, bustard feathers, bamboo poles, exotic skins and the like.
The big problem with online dealers is that the shipping/handling charges can add significantly to the cost, and you wind up padding our order with things you could get anywhere to justify the costs. Try not to spread your business out too thinly....