I much prefer shopping on-line as I like trying on things in the comfort and relaxed atmosphere of home where the mirrors aren't tinted or tilted and where I can think straight. And I have the added bonus of being able to try on new clothes along with pieces from my current wardrobe.
I hate shopping in stores that are too hot, crowded, where they never have the size you want, where fitting rooms are tiny, where you need a different size and you have to get dressed again to go and get it because there are no assistants available and after all that bother, you have to then go and queue to pay of all things. It's all a complete pita as far as I am concerned. Taking things back to a shop is an absolute nightmare too.
Shopping on-line can be more strategic. It's like anything else in that it needs practice. Don't do it randomly but do it around August for winter and around March for summer. Like a pp said, study the returns policy and use shops which have made it easy and then be disciplined about returning things. Set time aside to do it. (You have saved time not travelling back and forth to shops and queueing!)
After a while, you get to know the styles and brands (for want of a better word) that suit you and you can ignore entire swathes of various websites. Ditto re: sizing. And sorry, but having done it for a while, there is absolutely no difference to trying on shoes or boots in a shop, to trying them on in your bedroom. Get a few towels down on the floor to form a catwalk and stand in front of a proper mirror in proper light. Equally , I am 5ft 8 and a half, with a very long 33 inch inner leg, and I have never, ever had a problem with finding jeans that fit. It just takes time browsing on line and the initial try on but once you have found the style that fits you, then you often find that shops make the same thing year on year in different colours.
[The only exception to this would be if you change shape very dramatically and you need to try on different shapes and styles to see what fits you best now. In that circumstance, being in actual shops can be very handy. But if your shape and size is pretty much fixed, then shopping on line is fine. It's actually probably fine if you go up two dress sizes. But if you go up three - like I have done - it's probably best to reassess.]
The main problems are the current pressures on postal services and the fact that shops are not finding processing returns to be economically viable. But that is already pushing savvy shops in to offering more detailed sizing information, personalised sizing models, improved feedback dialogue etc which can only get better.
Most of all I am a huge advocate of on-line shopping because of the choice available. Instead of being restricted to the choice of the manager and buyers of shops in your particular town, you can shop from a much wider range of stores. And if you need say a green cardigan to go with the rest of your outfit, you can compare and contrast models from Uniqlo, Esprit and Zara without getting distracted.