When building a computer, I went looking locally for some things that I needed (I bought major components online). I stopped into Champaign Computer Supply with my processor and motherboard and ordered up some other components.
They not only recommended great products, they offered for no extra cost just to assemble everything for me!
The prices were reasonable -- a bit more than if I had ordered, but still very good for a shop in-town.
If you need something same-day, or something bulky, Champaign Comptuer Corporation is excellent.