So far my brother and I have only ordered online, through Amazon and Ebay. We'll be visiting an actual GW store in a few days, and I was curious if the store's prices would be cheaper than the website's. I can order stuff from places besides the site, but many models I can't find. The Slann on ebay all tend to be old/used Fantasy models, and the eternity warden is nowhere outside the site.
GW stores sell the models for the exact same price as the GW online store for your region as far as I know. Some online shops sell them a bit cheaper (10% or so) but you usually have to pay for shipping so it is only worth it If you buy a lot at the same time. I bought most of mine in the GW store. I support the guy who runs it, because he is friendly, gives valuable tips, and I could play there so I am interested in the shop's success.
Some local gaming shops also offer a discount. I found one near me that offers a 20% discount. Although, I heard some rumors that GW changed some its policies and cap a store's ability to discount at 15%. Not sure if it has taken effect yet.
It will be the exact same there, the website or at any licensed shop. Some shops that carry GW merch will occasionally have sales to get rid of old inventory, but the prices stay consistent. Edit: @NIGHTBRINGER has a good point.
The place near me offers a straight 20% off of all their GW stuff. No sale required. It's a great shop.