I do order regular (non-exclusive) items directly from Sideshow. I'm about three hours away from them, so the shipping isn't as much as it would be if I ordered from a dealer who would have to mail it across the country. Plus, I have it in hand a lot sooner. What dealer would have been able to ship me my PF Vader overnight for only eleven dollars? Also, I love their cancellation policy in case I decide not to go through with the order, and the ability to return items with no questions asked.
I would think that most dealers would be a little inconvenienced if I wrote them an e-mail saying, "I have had this item open and displayed for about three weeks now, and I don't want it any more. I want to send it back for a refund, knowing full well that you can't resell it on your site because it's open and used." Sideshow doesn't just replace your broken items, they offer you a 100% satisfaction guarantee, and that's worth a lot to me. They do enough business with me that I wouldn't feel bad if I ever chose to take advantage of that policy.
That being said, there are some excellent dealers out there who will take very good care of you and give you a great deal. When it comes to stuff from Code 3, Kotobukiya, Gentle Giant, and the rest, I turn to Razor's Edge, Fireside, Alter Ego, etc. and am never disappointed. For example, I recently cancelled my direct order for a Code 3 TIE Fighter and placed an order instead from one of our dealers, and I'm glad I did.