The first is customer service and product knowledge. Usually, at shops like Zumiez or a sporting goods store, the people who work there won't really know very much about skateboarding. Often they are just young people with the "right look" for the store.
At a locally owned skateboard shop, you should get personal and invested customer service. Just to open your own skateboard shop is a lot of work, and it takes someone who really loves skateboarding to do it. Unfortunately, this isn't always the case - some skate shops are owned by people who are really into skateboarding, sure, but they might be too into being edgy to actually be helpful. But for the most part, the skate shop is the place to go to get real advice on what to buy. Plus, they can help you with things like putting on griptape, assembling your board, etc.
The second reason for shopping at your local skateboard shop is better selection. Not just more selection, but better. Most chain stores won't carry high end equipment, and they won't have as good of a selection. Also, your local skate shop will carry things that chain shops just can't, like decks made locally, and gear made by smaller companies.
Several core skateboarding brands aren't even available in huge chain mall stores. This sometimes happens because certain brands just refuse to sell in shops like that.
My third reason for shopping at local skateboard shops is the help and advice that you can get. This ties into the customer service up above, but more than just telling you what to buy, the people at your local skate shop can help you actually skate better. They can answer questions, give you trick tips, and add that personal touch that we all need from time to time. You won't get that in your mall stores, unless you are very very lucky.
My final reason I suggest going to your local skateboard shop is that they often act as the hub for your local skateboard scene. If you want to know what's going on in your area, skate shops are the best place to ask. Things like contests, demos, tours, parties - you name it. Also, you can meet people, make friends, and maybe even get sponsored by the shop if you are good enough.
Local skateboard shops are important to the life of your local skateboarding area, and shopping at them is a great way to get the gear that's right for you, to get good knowledgeable service, to get unique and local brands, and to find out what's going on near you.
