The parts from Rock Auto or even GM Online are usually not far from what you'd pay at a dealership with a parts account discount ...other than of course shipping. I'm not saying it's a hard and fast rule, but that's what I've generally found. I've had accounts at a couple dealerships parts dept and Chrysler too ...and get the discount.
If you know the counter parts guy you can ask if he'll run you under a different jobber account and give you the discount even if you don't have an account. Often they will, sometimes they'll say they can't. If you're buying a $5 part, I wouldn't even ask, but if you're looking at a $200 part, it's worth it to ask for the discount. If you buy it from them, it's their revenue, and they need to show revenue, even if it's a discount. If you plan to buy regular parts purchases locally, you might consider opening up an account at their part's dept. But honestly, the online prices are close to GM Parts Store account prices, and usually less, sometimes significantly less. I've checked several times. And often you can find a part on ebay cheaper still .....way cheaper than at RockAuto. I'm talking general parts here, not Hummer-specific. If you were looking to buy a BUNCH of parts, say $1,500 worth of parts, then I'd give the parts dept a chance to work out a 'best price'. They may sharpen their pencil a lot to get your business.
If you plan to be a regular part's purchaser, opening up a parts charge account which will give you a 20% discount may be a consideration. Especially if you open a part's account with a large dealership group that has maybe Chevrolet, Chrysler and Ford dealerships, even in different towns/cities (and you own some of those other vehicles), then typically you can get the discount at the other dealerships parts dept too, and they often courier the parts between dealerships and can get a ford part to a GM dealership close to you. So, then you get GM, Ford, FCA parts discounts from one parts account, which can have tremendous benefits. One of my accounts is that way. Bear in mind, charge accounts cost the dealership a little time to manage. The biggest concern they have is spending time to collect $$ from bad businessmen who don't pay (or pay on time) ..so there's a certain amt of reluctance to open up onsie-twosie purchase accounts.
You should also factor your time it's going take to go to the parts dept, park and walk to the parts counter, wait there for the other mechanics to finish, he might have to take phone calls, print out and grab a few orders ...then get back to you. Then he's got to look the part up, groan about how slow his system is ..then hopefully he can find what you're looking for. Then he's got to cross-check why the number has been super-ceeded to a new number, etc. It can take a while sometimes ...whereas I can usually find it online a lot quicker. Some parts guys are a treat to work with, most are so-so ....a few are outright jerks. I'd rather pay shipping than work with a jerk.
I find I buy more stuff online in the last few yrs than through the dealership unless I need it right away (which is somewhat rare). The parts guy at a Chrysler dealership parts dept for many years was super-fun to work with. He was great! Confident ..could find what you were looking for 1-2-3 ..didn't complain or hem and haw and blame the computer system, very conversational. Made getting parts a joy. But he left a few months ago and the new guy's a dud. I'm bummed!!