For groceries, always physically.
For Warhammer, DND, and all my tabletop gaming needs, there's one shop in my town that I go to, and they have everything.
For my guitars, and guitar equipment, that really depends, and I usually shop only pragmatically for my instruments and gear. For example, I always buy strings in bulk, and in a brick and mortar store, sometimes that's just not feasible. Sometimes they may have the brand I use in the gauges I like, sometimes they don't. Online stores though, like Sweetwater, allows me to get the brand I want, in the gauges I like, and buy them in bulk.
Same thing with vacuum tubes for my amps. I have to shop online to get matched pairs and matched quads, and it's frustrating that a lot of music shops sell tube amplifiers, but only one in my area sells actual tubes, and even then it's spotty.
I really only go into music shops for cables, pedals, and cleaning supplies for my instruments, actually.