For the ball only, it is almost always cheaper to buy online. However, you still gotta put holes in it and you'll have to pay your local pro shop to do it. I would not trust online drilling services. Adding in the cost of drilling and in many cases, it is a wash as to what's cheaper.
For a low-end ball, the savings might not be much at all. For a premium ball, though, the savings could be considerable, even after you add in the cost of drilling. As an example, to buy a ball like the Break Out, a premium ball from a smaller manufacturer, would cost nearly $250 in the shop here. The ball would be about $220, plus another $25-30 for grips and a thumb insert. Plus tax on $250.
To buy it online would be under $150 for the ball. Buddies has it for $135. Add another $65 for drilling, inserts, and a thumb slug, plus tax on $65 (not the $135, I'm not in CT). Total price is a little over $200, a $45-50 savings.
Now, the shop here doesn't really mind drilling outside balls. Some shops have been known to give you attitude about buying from someone else. It's silly, but they do it. Furthermore, if there is a warranty issue, it is your problem and yours alone when you buy online. You will have to go through the online shop to get a ball replaced under warranty and probably will have to pay at least one way on the shipping charges. If you buy locally and have a warranty issue, you give the ball back to the shop and you get another one, end of story.
Many shops also throw in perks for buying balls there. If the ball ever needs new grips or thumb slug, might be free. If it ever needs cleaning or resurfacing, might be free. Maybe once a year they'll clean it for you and put in replacement finger inserts. Depends on the shop.
It's not a cut-and-dried issue of absolute cost. Online is virtually always cheaper, even after drilling but that ignores many of the non-cost benefits that come with buying locally.
SH