My experience echoes Dustbak's.
I've also done both. In the end I prefer to rely on backups as --no amount of support will get me new gear in places I go to shoot. That being said, and even though I'm technically savvy, my local dealer (Optechs Camera in Seattle) has delivered far more value than I would have expected.
I would contact your local dealer and talk to them about taking on your support if you buy privately. Some dealers will simply charge you a fee to 'adopt' you, others will do it simply for the goodwill.
Just ask them what they would like to do, and you may find that the answer is straightforward.
As Chris mentioned, be sure to be dealing with someone reputable, regardless of which way you go.
Hope that helps,
-Brad