I have used all three, and for various reasons:
-counter is usually the closest to where I live, so if I want to check out new stuff, I might head over there and take a look, or go over there to pick up a new staple, like foundation.
-store when I want to make a large purchase. I do this because the store tracks how much you spend and what you spend it on, so they'll send you mailers for upcoming events for new releases. Also, the service at the stores are ALWAYS much better than anywhere else.
-online when I'm not near a counter or a store, or if something isn't available in the store or at the counter. It's good for finding d/c items and ltd edition stuff.