LOCAL PRINTING: When it comes to short run printing, the local option is my favorite option. Local print shops may not be able to match the price of many online vendors, but you get to have more of a hand in the process, and therefore a little more control over the end result. Some will even let you bring in your own paper, and most will let you use their paper cutters for free (sometimes even if you haven't printed anything through them). Unfortunately, not all local shops are created equal—some FedEx Office shops are great, others not so much. You'll need to do your due diligence to find a good match. InkerLinker is also a good place to find amazing, non_FedEx print shops near you.
Letterpress: The designer and paper lover's dream, letterpress is visually lovely and highly coveted all over Pinterest. However, it is expensive because it is a fine art that requires some heavy machinery. Letterpress is the option to use when you want to support the artists making it, not because you think you should. Thomas Printers is a great option for people looking for letterpress invites on a reasonable budget. The other option to letterpress is to build your own, but you better have a serious love for the actual craft. The majority of your guests, sadly, won't know or won't care that your invites are letterpressed.