It depends on what I'm doing...
Simple service - I've normally got most of that at home already, the only thing I need to get each time is the filter. I tend to stock up on the Repco 30-40% NRMA members days and whenever else I can find things on special.
Bigger tasks/fixing broken things - I'll start off by working my way through what has been playing up, and then trying to work out what is needed to sort it.
Luckily I've got a good relationship with a number of parts places in town (including the Toyota main dealer) who know what I have as vehicles... but being known by first name due to all the things you've ordered over the last 4 years and having some of the guys as friends on Facebook?
I've actually got some parts on order at the moment with one shop, and they've said that they'll be in a few days later than they originally quoted so I didn't have to pay the $20 freight charge they were going to get stung with. I don't mind that - the part was only $13, so an extra $20 doesn't make sense.