Ok:
Your local fly shop will generally have higher quality, and pricier flies. By higher quality I mean in terms of how well it's tied. They're less likely to tear apart the first time you catch a fish on them. If they're dries they'll float better, etc. And they'll be better matches for the local insect scene in that general area. At most of them, you can make an order too, just call them and they'll ship them to your door.
Or you can order mass produced, lower quality flies for cheaper at places like the Fly Shack, among others. For an initial collection, this may be the way to go.
But amassing a collection is usually something you build up to. Maybe start with a decent selection from somewhere cheap like the fly shack. Then as you start making trips, stop by the fly shop to pick up the current flies that are taking fish at that time based on hatches and so forth.
Once you've got a base collection, your problem will be the same as all of us. You've got a bazillion flies, but only a few of each thing. When that's the thing you need, you quickly run out. Now, despite still having a bazillion flies, you don't have the one you need, so you either gotta tie it or stop by a shop. It's a pain to make so many trips to fly shops sometimes. Hence how you get into tying....
