I also purchased my former vehicle, a 2001 Audi A4, this way. I e-mailed (BCC'd) 5 dealerships within a 150 mile radius. Told them the exact model of car I wanted, options req'd, and the colors I was open to.
I got a huge range of pricing back. But ultimately, one dealership had the best pricing and the perfect car on the lot. Did everything through e-mail, drove out there a week later on a weekend. All the paperwork was already prepared, I just signed a few documents and 5 minutes later was on my way home. The easiest transaction I've ever done.