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.
ONLINE PRINTING: There's a pretty wide variety when it comes printing via online companies, so always make sure you can get a proof of your invitation. With some companies, that may cost extra, but it's usually not very much. Much like with at_home printing, your paper options will usually be limited to whatever the company carries, and each company's paper set is going to be slightly different. You can usually request paper samples for free. Here are a few companies I've used with good results: