If you're in the zone where finding anything you might actually want locally is even possible, I can only envy you. You can see it, touch it, hear it, and most importantly try it out at home. If you can, that is totally the way to go. That's what I did, and would still do, if only there were anything in my area. That there isn't within 300 miles of Seattle speaks volumes about the hurdles we face once we reach a high enough level. What I did, and what 99% should be doing, is driving the 300 miles to hear everything you can and then buying the best of that.
As far as ethics goes, the way I see it this has nothing to do with supporting your local audio dealer. This is simply the best way to do it, period. Listening to a lot of different gear in a lot of different rooms is the only way to learn. Well not the only, but the fastest and best by far.
Don't abuse it. Do have the guy earn his money. Do ask to swap speakers or cables or whatever in order to compare. Do ask to home audition. But don't waste their time. Do it when you're serious about buying. Then if you go through these steps, home audition and all, don't be looking to shave the last few dollars. Just buy it. He earned it. You saved a ton. Because having done all this you know what you're getting. Internet prices are low and should be because until and unless you've heard it, its a crapshoot. Don't kid yourself. Price is only part of what you pay. There's also time and money wasted when what you bought sight unheard winds up getting traded.
This will probably be hard for a lot of people to swallow, but what you have to do when you're new and inexperienced is completely different than what you can get away with after decades of doing this. Because all that time driving around and listening, combined with reading and studying and trial and error, you can learn to find what you want without all the driving around. Its just as slow and tedious, but it can be done. I have a Melody, Herron, Swarm, Koetsu, Dayton, Verus and more that were bought entirely sight unheard and are not only everything I thought they would be, but all have far exceeded expectations. Amazing, considering the failure rate when I was driving around and the fact I am far more discerning and picky now than 30 years ago.
But notice- all those purchases were made with zero to perhaps half an hour of time invested on the part of the seller. I don't waste their time. They don't waste mine. That's the ethics of it, at least the way I see it.