Audiogon is a great way to try out gear at relatively low depreciation cost. I mostly stopped going to dealers because I don't want to use their time unless I play to buy from them, and I find that I need much more than a quick demo in the shop to determine the character of a piece. Also, as a hobby-est in this area, I like to change gear a lot, and I'd get killed with depreciation if I bought new all the time.
That said, if this were not my hobby, if I just wanted to get a nice system set up and forget it, I would definitely work with a dealer to get a nice system with proper synergy put together. I recommend dealers all the time to friends that want to do that. It can save you a lot of time and grief and experimentation.
So, IMHO, if you just want to set up a system and get on with life, find a dealer with good gear to compare and work with. A dealer with Naim, Rega, Linn sounds fine to me. If you see yourself getting itchy to change systems every year or two... welcome to the club :)
Art