If the local store is $5 more sure, that seems very reasonable. If the local store is $15 more, no way in hell.
Honestly this isn't about supporting local businesses, this is about local businesses trying to stay competitive which means that they will have to exploit new avenues of opportunity. Perfect example, saw this hobby shop in the mall when visiting friends a few weeks ago and they came up with a great solution to making money, they built custom slot car tracks and rented them out to kids by the half hour. All the slot car race tracks were full with kids and their dads having a good time.
So if I were a gaming shop I would be looking for new revenue. One thing that comes to mind is allowing people to 3D print custom gaming models. I know that's pretty popular in the 3D printer community and there are tons of free models out there. Or better yet, you could design a model for the customer for even more money. Basically you have to adapt or die.