Interesting. Your point is accurate and does show that my initial reaction wasn't as well thought out as it could be. However, I expect this is fairly complex and that there are both savings and additional waste associated with on line transactions.

If I buy an item on line, yes it is shipped to me, not the mall. This uses more energy. But then again, I don't go to the mall. Over time this could reduce the need for big stores and infrastructure, which also use energy. But if I have three items shipped to me separately, this could involve three trucks coming to my house, but would have only been one trip to the mall. However, maybe Federal Express was going to deliver to my neghbor anyways.....

I agree that the only way that on line shopping is a pure energy reducer is downloadable products. However, it does seem clear that in other catagories the impact is complex and difficult to measure.

Does anyone know if this has been studied?

It has been studied, but I don't know if the information is on the Web.  The federal and state DOTs have studied it, as part of their planning processes.  
I'd imagine the present level of product availability probably requires a lot more intermediate storage and transfer facilities.
Just-in-time delivery, "rolling warehouses," etc., are distribution systems designed around cheap energy.  (Wal-Mart has perfected this system.) It works because it's cheaper to send a truck out every day than to rent more storage space on-site.  As fuel prices rise, I expect that to change.  
I need to add that it has very often been the case that I order something on-line and it is delivered at time where there is nobody at home. The resulting trip to UPS or FedEx (usually at rush hour time) kills off all possible energy savings and if the item is not that expensive, sometimes kills the price differences too.