Hi!
I live in Italy in a medium city (250000 inhabitants), the situation is not too bad compared to others described above.
There are different little shops and, there is not the complete catalogue and there are less things than 10 years ago... but it's possible to find many themes: SW, Racers, Bionicle, Knight, Vikings, Exo-Force, Designer Set, buckets, some Technic and City (I've found only Firemen and no Construction!).
It depends on the shop, for ex. there is a shop that has a lot of discontinued sets and so it doesn't buy new ones! But it does no reductions, if a set is 39.99 it makes you pay 39.99! In this way it will never get rid of old sets and make new sets available! But I know that in this shop it's possible to order any set in the catalogue (I don't know the times of arrival, but you don't pay any extra in this way).
There is another shop that has few sets, but has often new sets. So it's important that you go when sets are just arrived. And here I've always found almost all Designer Sets in the last years, plus buckets, some City and other themes. And it always does a reduction of 10%.
So I think that if you can find a good set, it's more convenient to buy it in a shop, no extra payments and no time to wait...
The problem is that nowadays sets don't have a good selection of pieces like 10 years ago, so you must use BrickLink and eBay...