It's better if you can find somewhere locally, though, because you don't have to worry about shipping costs, which can be pretty steep for some lenses (I rented a 400/2.8, though, so this may really only be an issue for me, haha) .
Re: shipping costs, there are some places that ship for free, so be sure to check into that. Many times the prices on local rentals are 2 or 3 times as much $$, depending on your length of rental.
Even for the places who do have shipping charges, they are generally always cheaper than a local rental.
Don't get me wrong, I think supporting local businesses is one of the keys to a strong economy. But there are some who don't have a local shop close by.