I have.
I'm a terribly impulsive buyer, and if I see something that I want, I typically just buy it instead of shopping around.
Lately I have been more cautious just because I have spent so much lately. Case in point... I was being rung up at one shop for my AR and EOTech along with some other goodies, and I asked about the price of their FN FS2000... they wanted $2390 for it. I almost jumped on it, but decided to pass that day.
It ate at me and I really wanted it, so I decided the next day to go back and pick it up. It was sold and it would be a week before they saw another one... so I called up another shop close by, they had two in stock and both were offered at $2109. That's a HUGE price difference, and almost paid for the EOTech I slapped on that one when I bought it.
Now i shop around a bit more because I know my main shop gouges on prices (bought the same exact EOTech at the other place for $50 less too) so I don't just impulse buy there anymore.
As far as ordering online goes, in many cases the price works out close to the same because all shops out here charge $50 to use their FFL. So when i catch a good deal online I have to add in shipping and FFL transfer... and that normally brings the price right back up, so I buy it locally and don't have to wait.
I got a stupid deal on my Koenig 1911 by ordering through Big Sky Guns online, and that saved me a ton... about $450 from everyone else's prices... so sometimes it does pay to look around!