My thought is that as you alluded to, any savings would be eaten up by freight. That said, the only way to find out for certain is to get it quoted out.
The other advantage to buying local is convenience of warranty service down the road. Many distributors will service the products that they sell, or at the very least provide easier access to warranty/replacement parts.

Warranty service should be covered nationally I think but I would ask to be certain.

I am sure that Marvin frowns upon it but you would have to get quotes to compare the apples to apples numbers.

I work with the California distributor of Marvin and Integrity, BMD, and I know that they frown on buying windows from someone that is too far away to service the product. My recommendation would be to not venture too far for that reason. I wouldn't rule out a local dealer just because he is in a HCOL area. He might be an established business on a property long paid for and thus his cost of doing business doesn't lead to margins that out of line in comparison. Also, I am not aware of being able to purchase Integrity on line and trucking companies are very hesitant about shipping glass products without excessive crating and that can be expensive.

Thanks very much for the input, I appreciate the quick responses. I've read a lot of old posts here and you guys (the window pro's) often go out of your way to help posters on here and it's really pretty remarkable. So thanks.

I think I'll get one or two bids from a non-local dealer and see if it results in cost savings. Even if I venture inland about an hour from here it could result in some savings given the significant difference in COL and building prices. I'll post back with my results in case it helps anyone else.