Yes: local mechanics, restaurants, farmers markets/produce stands, hair salons.
No: books, movies, music, clothing (unless it's thrifted, I definitely support local thrift stores!).
I used to live in a city where access to local shops was much, much better, but I didn't shop at them often. Often they offered their locally made items (usually knick-knacks that I didn't need anyway) at outrageous prices. I can't pay $30 for a tee-shirt, even if it is local. It's unreasonable. I went into our local grocery and hardware a few times and was greeted with terrible selection, high prices, and service so apathetic it was almost hostile. If I need a book I go to the library first, then look online. If I want a movie I almost always watch it online or OnDemand.
On the other hand, even though his prices were slightly higher, I got nothing but the best service from my local mechanic (I haven't found a replacement since I've moved). And the non-chain local restaurants simply could not be beat (I hate eating at restaurant chains). Where I live now has an amazing farmer's market with unbeatable prices (the advantage of rural living).
Local stores have to find a way to keep themselves in the game economically. They can't rely on the consciences of their local community to keep them afloat, they have to be appealing to consumers. I dunno what the solution to that is, but some local businesses can do it, others really suck at it.