Several reasons, but primarily because online retailers have lower overhead. They don't have to pay for expensive things like retail space and apathetic retail clerks.
Often, though, they often don't choose to pay for the rights to digital music either. Beware of black-market goods on the internet; it's rife with them.
Your best insurance against getting a fake over the web is to do business with large, nationally-known retailers. They have a lot more to lose from selling fakes.