Like nearly all manufacturers that maintain a storefront, Surefire sells product direct at their highest MSRP. This prevents them from competing with the very retailers they sell to, who Surefire needs in order to stay in business. Given the substantial profit that retailers can make on Surefire sales, they have plenty of margin to stay ahead of Surefire's retail pricing.
The price of a retail product typically doubles, often quadruples verses the wholesale cost per unit from the manufacturer. Why? It takes deep pockets and you incur signifigant expenses during distribution and to maintain a storefront - be it on the internet or "brick and mortar." Manufacturers need to make things in bulk and ship them in bulk to relatively few customers to stay profitable and focus on the business of making product. Surefire probably makes a bit more for every direct flashlight sale than the average retailer, but they have to carry a full product line in stock, deal with retail logistics, maintain a customer service department, etc... And without their network of retailers, they would be out of business since they can't shoulder the retail front alone and unlike their retailers, they don't sell a broad line of merchandise that helps to make sales.