Another vote for Armslist.
As I currently have a job in the industry, I can second what some have said, with a few details.
Standard retail firearm markup is 20%, this price can be justified by people (on a walk in basis) looking for guidance, or are brand new to the area to which they are interested in (Comp, SD, hunting.) In my opinion, people like "us" who have been around a while who are "in the know," or have done their research, can pay about 10-15% less.
My LGS, who is not my employer (shh,) says he does about 5 transfers for every 1 gun he sells. Surprising to me, my employee pricing on guns can't even touch what I can get everything for on the internet. With every new gun purchase I make, I go to my LGS, and see if he can match that price. about half the time he can, and strictly for the fact that he tries, when he can come $30 or so over my internet price, I will go with him, mainly for the invaluable knowledge and different perspectives that I gain from him. Only once on a new PMR30, he said "those are made in volume in big batches, and not very often" and he couldn't even find one from any of his distributors.
This tells me that once again the hi volume "internet warehouses" are killing the brick and mortar gun shops. My employer sees it mainly as a labor issue; the "internetters" can shove the costs of paperwork and background checks onto the FFL, so I would assume that the shops love it when you come in with a carry permit.
As far as used goes, I think it's a trade off that you have to judge what's right for you.
We pay 50-60% of current book value, depending on how much money will be offered, and how long that amount will be tied up sitting on the shelf. The book is about twice the size of a bible, so it's pretty extensive. The upside is that you have cash in your hand that day, and the down side is that it's not nearly what you could get in a private sale.
Conversely, private sales have a cost associated with them, like gas and travel time. Then there's always the unknown people to deal with, but personally, I think there's a certain way someone talks who knows guns. If I'm responding or being responded to in an ad, there's keywords that may increase my comfort level. It took me a while, but I learned that people who offer $300 for a LNIB G17, don't know the real value, and probably are sketchy to begin with. If you don't want to be ignored, at least counter with $400, and depending on how desperate I am, we can dicker.