It depends a good deal on the bike shop for me. There are two big ones here in Kingston, Ontario. The Trek store is my go to. I love the service, the people, and drooling over bikes even though I am not a huge fan of the Madone or the TT bike except recently. Regardless, I give my credit card to my wife for safekeeping and go there as much as I can.
My rule is: If they cannot get the part, it is ok for me to bring it to them to install. For example, a Shimano inline brake adjuster, TriRig omega X brakes, Alpha X bars, or a Felt frame (since they are Trek only) They cannot get it through their distributors so I order and tip them extra to install.
If I can get the part through them, then I will do a special order through them. They know me so typically give me a discount.