Of the three mentioned, Dicks is about 10 minutes from work, so of the three, I check there first.
However, overall, I check a local Mom & Pop shop first that we have close by. I can usually get a good deal there, and I feel good about it, but the selection is limited.
Second choice is TW. The free shipping and no tax makes their "final" price very competitive. However, selections is somewhat limited.
Next is Gander Mountain... about 30 minutes from my work.
Next is Cabela's (online) for mainly clothes, and I usually wait for a sale to offset the shipping and tax. Their closest store is about 2 hours away. I only get there about once a year.
Next are several other online stores that offer some sort of free shipping and no tax.
BPS (online) is last, usually because I've found what I want in one of the above, and they have the same shipping and tax charges, and their store is over 2 hours away.
Obviously, the Big Boys do have to pay for the multi million dollar stores, enormous stock, commercials, sponsorships, (like this site) advertising, TV shows and what have not. So, I do try and do some business with them... they do do a lot for the sport.