I think you should definitely buy it online! First go around the local stores and figure out what sort of dress you want. I was sure I wanted a princess or A line dress, but then I tried some on and I was lost in those (I'm a size 4 for wedding dresses)! so I tried on a few mermaid and more form fitting dresses, and they were a hit! I went to try dresses on with my mom and we still had the "shopping" experince, but none of the dresses I looked at were in my budget. The lowest one (ugly! and not in my size, it was a sample sale) was $1500...I guess they have to pay for renting the space for the store!
Next, look online to see if you can find that style. I got my dress at www.bestbridalprices.com, it is a genuine Allure dress, and it was $600 including shoes and veil. Email me if you want a link to my pictures.
Don't buy a knockoff, you'll be stressed about it. However, there's no need to pay more than $1000 just to try on a dress that's size 10 and likely won't look the same on you after you get it in your size! Most local stores will have dresses size 10 for trying on, then they order a dress in your size and you get that one only after a few months. Usually, you also have to get it altered, which is an added cost. For a wedding dress, you'll need alterations anyway (hem, bust maybe, etc), so you don't save money by ordering in a "real" store, they will charge extra for alterations, and you won't get to shop around or have a trusted taylor do the work.
Anyway, my personal experience with bestbridalprices has been great: I was supposed to get married next summer, but decided to get married in sept 2010 instead, and I called them to see if they can ship it early, and they did! I got my dress in 2 months (if you've done some research, you know this is unheard of for local stores, where you have to wait at least 6 months to get your dress).
The only reason who people still need to try on these dresses is because the industry is perpetuating the fear of the knock-offs. If you have a fairly normal body, you should definitely do some research and buy your dress online. Skip David's bridal, why get married in a polyester dress...ew.
I really got a lot of compliments on my dress :) no one could believe I ordered it online! (hehe, I did tell everyone about it).
Okay, here's a pic, no need to email me:) http://www.facebook.com/photo.php?fbid=433407919630&set=a.282110759630.141961.101079614630&ref=fbx_album
personal experience, I had a limited budget to get married (my husband and I paid for the wedding ourselves).