I recommend Lafayette Electr... oops, they closed in the mid-1980s... I recommend Michigan Radi... oh dear, they closed about 5 years ago... OK, I recommend going to Ann Arbor & visiting Purchase R... oh %$#&, they closed in 2007!
(sigh...)
I'd been to Palco a few times & they were OK, but their HF radio focus was mostly on CBs. Ditto for Electronic Connection, and I too tried to avoid that place because of their high prices (are they still paranoid about after-hours use of their parking lot?).
Buying your (Asian-made) HF receiver locally is fine I suppose, as long as you don't let that force you to buy something that isn't exactly what would be best for you.
Instead of worrying about "buying local" yet, I'd put more thought into what HF receiver you'd like to get.