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.
Finish: Your paper finish will affect how you're able to print and how much ink your invitation will take. Glossy papers take a lot more ink and longer to dry. Linen papers and papers with more texture have a much higher tendency to bleed, and so they won't work with some at_home printers where you can't change your ink settings. If you're not interested in researching finishes because you're not a weird nerd (like myself) who likes to feel on paper, a matte card stock is an easy, relatively foolproof option that will more than likely work for the printer you're using.