I wish I was virtuous and could say that I only support the locally-owned garden centres with my gardening dollar. But I can't!
I would say that where to shop depends on the time of year, your gardening experience, and what you're looking for. Here are a few comments to help you decide:
Garden centre: will generally have the most varied selection, well-organized and easy to find things, staff that can answer questions. Plus, the plants are kept in a greenhouse so are less likely to be stressed (see below). If you are an avid collector, the smaller garden centres will often carry more specialty and hard-to-find plants.
Big box stores: are usually cheaper but generally carry only the most popular plants (which is probably a good thing for the relatively new gardener), are typically not well-organized and... try to find someone to answer a question!! I find plants are quite healthy in early spring (i.e. May) when shipments first start coming in. Later in the summer, after the plants have been sitting in makeshift shelters on a parking lot and have been "cared" for by untrained staff, they're not such a great deal. However, if you happen to drop in right after a shipment has come in, you can still luck out.
Since I work full-time and have a young family, I don't have much time to shop around much. I got all of my perennials in early May this year from Canadian Tire and Superstore because they're close to my house and I happened to need other things from those stores (to be honest those other things were probably excuses shop for plants). Canadian Tire carries some Alberta-grown perennials (look for the blue pots) so I feel like I'm still shopping somewhat locally.
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