Most local parts places charge more because, for the most part, they only handle quality parts. They don't like selling stuff they know is going to come back to them accompanied with an mad customer. In the Chattanooga area, there is Mainly Foreign is probably your best bet for having air-cooled VW parts in stock. In Dalton, GA there is American Foreign, and in Cleveland, TN there is Tri-State Auto. Tri-State may have changed names . . . the original owner sold the business a while back. I'm sure someone will correct me if that's the case.
For mail-order, theres a ton of choices and you can save a LOT of money . . . BUT, trust me, J.C.Whitney isn't the only mail order place that sells JUNK. You gott'a be careful. And like Nick mentioned, you gotta pay for shipping. Some places offer free shipping on orders over a certian $ amount, but the parts will take a couple of weeks to arrive and heavy stuff will be exempt from the free shipping. And if you need to return it, you usually have to pay to ship it back.
My favorite place to buy parts is a swap meet at a VW show. You usually get close to mail order prices, get to put your hands on the parts and look them over before you buy them, most of the time you won't pay sales tax, and you don't have to pay for shipping. Circle Yer Wagons in Sevierville, TN is coming up soon (first weekend in Oct. I think). It's usually got a great swap meet.