This is actually two questions:
- is the airport duty free a cheaper way to buy something in country X than other stores in country X?
- is the airport duty free a cheaper way to buy something than buying it at home?
When I bring wine or rum into Canada, Canadian customs doesn't care whether I bought it a duty free or not. So if prices or selections are better at some random store, buy it there. (Of course, unless you travel to the country a lot, the chances are you won't know the duty free prices while you're just wandering around.) But if you do, and you see a good deal (compared to home) go for it.
You need to know how much of something you can bring home duty free (Canada will only let you bring one carton of cigarettes, and only two bottles of wine, so going beyond that will cost you) and what that item costs at home.
I used this logic to get two very nice bottles of Australian wine that would have been $40 in Ontario for just $20 Australian each. That was in a wine store in a tourist mall, so perhaps I could have got them for $16 Australian by putting in more effort, but I wasn't motivated to do so. (And by buying them in advance, I was able to pad them into my luggage and not have to drag a heavy plastic bag around on the airplane, my terminal change at LAX, and the drive home.) On a different trip, I got a $40 (in Ontario) bottle of rum for $12 at an airport duty free in Turks and Caicos.
If you have no idea where stuff is produced, or what it costs at home, do not buy it at the airport duty free. I have seen plenty of examples where things are far more expensive at the airport duty free than they would be at home.